Research

Research Interest

I am interested in Financial and Insurance Mathematics using Stochastic control methods.  Some publications and preprints can be found below:

Submitted and Preprint

25. Investing in Green Bonds with Goal-Oriented Preferences (with An Chen, Yusha Chen, and Gazi Salah Uddin). Submitted to Energy Economics.

24. Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach (with Duy Nguyen and Huy Chau), In revision, European Journal of Operational Research. 

23. Utility maximization under endogenous pricing(with Mitja Stadje), submitted to Mathematics of Operations Research.

22. Pareto-optimal investment and contracting for non-linear payoffs (with An Chen and Peter Hieber), submitted to European Journal of Operational Research.

21. The role of health in consumption and portfolio decision-making: insights from state-dependent models (with An Chen , Linyi Qian,  Zhixin Yang), submitted to Journal of Computation and Applied Mathematics.

20. Efficient Collective Investment with Limited Expected Loss: Pareto-Optimal Wealth Sharing and Risk Allocation  (with Tak Wa Ng), in revision.

19. On short-time behavior of implied volatility in a market model with indexes (with Duy Nguyen and Huy Chau), submitted to Finance and Stochastics.

Peer-reviewed publications

18. An efficient method to simulate diffusion bridges  (with Duy Nguyen, Dang Nguyen, Nhu Nguyen, Justin Karby, Huy Chau), (accepted) Statistics and Computing, 2024.

17. Risk management under weighted limited expected loss: optimal policies and equilibrium implications (with An Chen), (accepted), Quantitative Finance, 2024+. 

16. On the inversion-free Newton's method and its applications (with Duy Nguyen, Dang Nguyen, Nhu Nguyen, Justin Karby, Huy Chau), International Statistical Review, 2024.  Preprint  

15. Non-concave expected utility optimization with uncertain time horizon (with Mitja Stadje and Christian Dehm), (published version), Applied Mathematics and Optimization 88, 65 (2023).

14. Portfolio performance under benchmarking relative loss and portfolio insurance: from Omega ratio to loss aversion (with Tak Wa Ng),  ASTIN Bulletin (2023) Volume 53, Issue 1, pp. 149 - 183  (published version, Preprint).

13. Optimal collective investment: an individual welfare analysis (with An Chen, Nicole Branger and Antje Mahayni), published version, Mathematics and Financial Economics (2023).  

12. Unit-Linked Tontine: Utility-Based Design, Pricing and Performance ( with An Chen and Thorsten Sehner), Risks 2022, 10(4), 78;  (Open access published version). 

11. A collective investment problem in a stochastic volatility environment: The impact of sharing rules, (with An Chen and Manuel Rach),  Annals of Operations Research,  302, 85–109,  2021 (Open access published version). 

10. Optimal collective investment: The impact of sharing rules, management fees and guarantees (with An Chen and Manuel Rach),  Journal of Banking and Finance, 2021,  Vol. 123 (published version, preprint).

9. Indifference pricing under SAHARA utility (with An Chen and Nils Sorensen), Journal of Computational and Applied Mathematics. 2021, Vol. 388 (published version, preprint).

8. Non-concave optimal investment with VaR constraint: an application to life insurance contracts (with  Mitja Stadje),  SIAM Journal on Control and Optimization,  2020, Vol. 58, No. 2 : pp. 866-894 (published version, preprint).

7. Approximate hedging with proportional transaction costs in stochastic volatility models with jumps (with  S. Pergamenshchikov).  SIAM Theory of Probability and Its Applications 65:2 (2020), pp. 224-248 (published version, preprint).

6. Constrained non-concave utility maximization: an application to life insurance contracts (with An Chen and Peter Hieber), European Journal of Operational Research , 273(3), 1119-1135, 2019  (published version, preprint).

5. Risk management with multiple VaR constraints (with An Chen, Mitja Stadje), Mathematical Methods of Operation Research, 2018, p. 1-41 (published version, preprint).  

4. Optimal investment under VaR-Regulation and Minimum Insurance (with An Chen, Mitja Stadje), Insurance: Mathematics and Economics, 79:194 – 209, 2018 (published version). 

3. Approximate hedging problem with transaction costs in stochastic volatility markets (with S. Pergamenshchikov). Mathematical Finance, vol. 27, no 3, p. 832-865, 2017. published version

Other publications 

2. Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications ( with Thu, N. V., Dung, T. A., Dam, D. T. ). In Stochastic Processes And Applications To Mathematical Finance; (pp. 245-258), 2007 (preprint).