Pricing of cross-currency interest rate derivatives on Graphics Processing Units. - Duy Minh Dang (IPDPS Workshops, 2010)

Quadratic spline collocation for one-dimensional linear parabolic partial differential equations. - Christina C. Christara; Tong Chen; Duy Minh Dang (Numer. Algorithms, 2010)

A PDE pricing framework for cross-currency interest rate derivatives. - Duy Minh Dang; Christina C. Christara; Kenneth R. Jackson; Asif Lakhany (ICCS, 2010)

An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options. - Duy Minh Dang; Christina C. Christara; Kenneth R. Jackson (Concurr. Comput. Pract. Exp., 2012)

A Highly Efficient Implementation on GPU Clusters of PDE-Based Pricing Methods for Path-Dependent Foreign Exchange Interest Rate Derivatives. - Duy Minh Dang; Christina C. Christara; Kenneth R. Jackson (ICCSA (5), 2013)

Modeling Multi-factor Financial Derivatives by a Partial Differential Equation Approach with Efficient Implementation on Graphics Processing Units. - Duy-Minh Dang (2013)

Graphics processing unit pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model. - Duy Minh Dang; Christina C. Christara; Kenneth R. Jackson (Concurr. Comput. Pract. Exp., 2014)

Multilevel Dimension Reduction Monte-Carlo Simulation for High-dimensional Stochastic Models in Finance. - Duy-Minh Dang; Qifan Xu; Shangzhe Wu (ICCS, 2015)

Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models. - Duy-Minh Dang; Duy Nguyen; Granville Sewell (Comput. Math. Appl., 2016)

Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach. - Duy-Minh Dang; Peter A. Forsyth (Eur. J. Oper. Res., 2016)

Convergence of the embedded mean-variance optimal points with discrete sampling. - Duy-Minh Dang; Peter A. Forsyth; Yuying Li 001 (Numerische Mathematik, 2016)

Pricing American-style Parisian down-and-out call options. - Nhat-Tan Le; Duy-Minh Dang (Appl. Math. Comput., 2017)

A multi-level dimension reduction Monte-Carlo method for jump-diffusion models. - Duy-Minh Dang (J. Comput. Appl. Math., 2017)

A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates. - Nhat-Tan Le; Duy-Minh Dang; Tran-Vu Khanh (J. Comput. Appl. Math., 2017)

A Dimension Reduction Shannon-Wavelet Based Method for Option Pricing. - Duy-Minh Dang; Luis Ortiz-Gracia (J. Sci. Comput., 2018)

Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation. - Nat Chun-Ho Leung; Christina C. Christara; Duy-Minh Dang (SIAM J. Sci. Comput., 2018)

Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? - Pieter M. van Staden; Duy-Minh Dang; Peter A. Forsyth (SIAM J. Financial Math., 2019)

The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. - Pieter M. van Staden; Duy-Minh Dang; Peter A. Forsyth (Eur. J. Oper. Res., 2021)

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies. - Pieter M. van Staden; Duy-Minh Dang; Peter A. Forsyth (SIAM J. Financial Math., 2021)

A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models. - Hanwen Zhang; Duy-Minh Dang (Math. Comput. Simul., 2024)

Fourier Neural Network Approximation of Transition Densities in Finance. - Rong Du; Duy-Minh Dang (SIAM J. Sci. Comput., 2025)