Education

2014: PhD in Applied Mathematics, University of Rouen, France. Thesis title: "Approximate hedging with transaction costs in stochastic volatility models". Supervisor: Prof. Serguei Pergamenshchikov
5/2007: Msc in Probability and Statistics, University of Natural Sciences, National University, HCM City, Vietnam
4/2003: Bachelor in Mathematics, University of Pedagogy HCM City, Vietnam.
1999-2003: Student in French Program (AUF), Math Department, University of Pedagogy, HCM City, Vietnam

Research Interest

I am interested in Financial and Insurance Mathematics, mainly Stochastic control and its applications in Economics, Finance and Insurance. Some specific problems are

Expected utility maximization under endogenous permanent market impacts
Non-concave optimal investment with constraints.
Transaction costs and the problem of approximate hedging
Collective investment and risk sharing
Optimal utility-based risk measures

Academic experience

7/2015 - today: PostDoc researcher at the Institute of Insurance Science
2014 - 6/2015: Assistant Professeur (ATER), University of Rouen, France
2013 - 2014: Assistant Professeur (ATER), University of Rouen, France.
2003 – 10/2010: Lecturer position, University of Economics, HCM City Vietnam.
2005 – 2009: Visiting Lecturer, Hoa Sen University, Vietnam.

Teaching

WS 2018/2019: Risk theory 1 (master) with Mitja Stadje
WS 2018/2019: Topics in life and pension insurance (master) with An Chen

SS 2018: Risk theory 2 (master) with Mitja Stadje
SS 2018: Seminar in insurance mathematics (master)
WS 2017/2018: Risk theory 1 (master) with Mitja Stadje
WS 2017/2018: Topics in life and pension insurance (master) with An Chen
SS 2017: Risk theory 2 (master) with Mitja Stadje
SS 2017: Seminar in insurance mathematics (master)
WS 2016/2017: Advanced Topics in Insurance and Finance (master)
WS 2016/2017: Rough path theory seminar (master) with Robert Stelzer and Karsten Urban
SS 2016: Special Aspects of Insurance Economics (master seminar) with An Chen
SS 2016: Insurance Economics (bachelor & master)
WS 2015/2016: Selected topics in life and pension insurance (Master program), with Peter Hieber
WS 2015/2016: Special aspects of insurance mathematics (Master seminar with Stefan Schelling)
2013, 2014: Calculus, linear algebra, general algebra
2013-2014: Mathematical methods for insurance (Master program)
2008- 2009: Advanced calculus, stochastic processes and their applications
2008: Probability and statistics, advanced calculus for business and economics

Publication

Approximate hedging problem with transaction costs in stochastic volatility markets with jumps (with S. Pergamenshchikov). SIAM Theory of Probability and its Applications. Accepted (minor revision arXiv link).
Constrained non-concave utility maximization: an application to life insurance contracts (with An Chen and Peter Hieber), European Journal of Operational Research, vol. 273, no.3, 1119-1135, 2019 (link).
Risk management with multiple VaR constraints (with An Chen, Mitja Stadje), Mathematical Methods of Operation Research, 2018, p. 1-41. Link
Optimal investment under VaR-Regulation and Minimum Insurance (with An Chen, Mitja Stadje), Insurance: Mathematics and Economics, 79:194 – 209, 2018. Link
Approximate hedging problem with transaction costs in stochastic volatility markets (with S. Pergamenshchikov). Mathematical Finance, vol. 27, no 3, p. 832-865, 2017. Link
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. Link

Working and submitted papers

Delegation of investment management and financial fairness (with An Chen, Nicole Branger and Antje Mahayni), Working paper (Researchgate link).
Optimal collective investment: how costly are guarantees? (with An Chen and Manuel Rach), Working paper (Researchgate link).
Non-concave optimal investment with VaR constraint: an application to life insurance contracts (with Mitja Stadje), submitted to SIAM Journal on Control and Optimization (arXiv link).
Optimal investment and consumption with downside risk constraint in jump-diffusion markets. Working paper (arXiv link).

In progress paper

Non-concave expected utility optimization when investment horizon is uncertain. (with Mitja Stadje and Christian Dehm).
Optimal asset allocation: a regret-based approach (with An Chen)
Optimal portfolio management with multiple regulations.
Expected utility maximization in endogenous permanent market impacts (with Mitja Stadje).
Asymptotic hedging of European convex payoff with increasing volatility under proportional transaction costs (with Masaaki Fukasawa).
Indifference pricing of insurance products under SAHARA utility (with An Chen and Nils Sorensen).
Collective optimal expected utility risk measures (with Sebastian Geissel).
Approximate hedging with transaction cost under regime switching models (with Duy Nguyen).
Optimal collective investment under portfolio insurance in a stochastic volatility framework (with An Chen and Manuel Rach).
Arrow-Debreu equilibria with regret (with An Chen and Tim Boonen)
Unit-linked tontine products : designs and utility-based analysis (with An Chen and Thorsten Sehner).
Asset prices and heterogenous preferences (with An Chen and Tim Boonen).