| Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach DM Dang, PA Forsyth European Journal of Operational Research 250 (3), 827-841, 2016 | 91 | 2016 |
| Continuous time mean-variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach DM Dang, PA Forsyth Numerical Methods for Partial Differential Equations 30 (2), 664-698, 2014 | 58 | 2014 |
| Continuous Time Mean-Variance Optimal Portfolio Allocation Under Jump Diffusion: An Numerical Impulse Control Approach DM Dang, P Forsyth Numerical methods for Partial Differential Equations (to appear), 2013 | 58 | 2013 |
| Time-consistent mean–variance portfolio optimization: A numerical impulse control approach PM Van Staden, DM Dang, PA Forsyth Insurance: Mathematics and Economics 83, 9-28, 2018 | 41 | 2018 |
| The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors PM van Staden, DM Dang, PA Forsyth European Journal of Operational Research 289 (2), 774-792, 2021 | 39 | 2021 |
| Adaptive and high-order methods for valuing American options C Christara, DM Dang Journal of Computational Finance 14 (4), 73-113, 2010 | 38 | 2010 |
| A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance DM Dang, C Christara, K Jackson Canadian Applied Mathematics Quarterly 17 (4), 627-659, 2010 | 34 | 2010 |
| The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management DM Dang, PA Forsyth, KR Vetzal Quantitative Finance 17 (3), 335-351, 2017 | 31 | 2017 |
| Quadratic spline collocation for one-dimensional linear parabolic partial differential equations CC Christara, T Chen, DM Dang Numerical Algorithms 53, 511-553, 2010 | 31 | 2010 |
| Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models DM Dang, D Nguyen, G Sewell Computers & Mathematics with Applications 71 (1), 443-458, 2016 | 30 | 2016 |
| A PDE pricing framework for cross-currency interest rate derivatives DM Dang, CC Christara, KR Jackson, A Lakhany Procedia Computer Science 1 (1), 2371-2380, 2010 | 28 | 2010 |
| An efficient graphics processing unit‐based parallel algorithm for pricing multi‐asset American options DM Dang, CC Christara, KR Jackson Concurrency and Computation: Practice and Experience 24 (8), 849-866, 2012 | 27 | 2012 |
| On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies PM van Staden, DM Dang, PA Forsyth SIAM Journal on Financial Mathematics 12 (2), 566-603, 2021 | 25 | 2021 |
| Graphics processing unit pricing of exotic cross‐currency interest rate derivatives with a foreign exchange volatility skew model DM Dang, CC Christara, KR Jackson Concurrency and Computation: Practice and Experience 26 (9), 1609–1625, 2012 | 23 | 2012 |
| GPU pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model DM Dang, C Christara, K Jackson Concurrency and Computation: Practice and Experience (To appear), 2010 | 23* | 2010 |
| Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance DM Dang, KR Jackson, M Mohammadi Applied Mathematical Finance 22 (6), 522-552, 2015 | 20 | 2015 |
| Mean-quadratic variation portfolio optimization: A desirable alternative to time-consistent mean-variance optimization? PM Van Staden, DM Dang, PA Forsyth SIAM Journal on Financial Mathematics 10 (3), 815-856, 2019 | 19 | 2019 |
| Convergence of the Embedded Mean-Variance Optimal Points with Discrete Sampling DM Dang, PA Forsyth, Y LI Numerische Mathematik 132, 271-302, 2016 | 18 | 2016 |
| A dimension reduction Shannon-wavelet based method for option pricing DM Dang, L Ortiz-Gracia Journal of Scientific Computing 75, 733-761, 2018 | 12 | 2018 |
| A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models DM Dang, KR Jackson, S Sues Applied Mathematical Finance 24 (3), 175-215, 2017 | 11 | 2017 |
Peter ForsythDistinguished Professor Emeritus, Cheriton School of Computer Science, University of WaterlooVerified email at uwaterloo.ca
