Consultation hour

By appointment
(please send me a short email in advance)

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:

  • Risk management for life insurance contracts
  • Transaction costs and the problem of approximate hedging
  • Jump and stochastic volatility models
  • Optimal investment and consumption with risk constraint
  • Prospect theory
  • Pricing in regime switching models

Teaching

  • SS2018: Risk theory 2 (master) with Mitja Stadje
  • SS2018: Seminar in insurance mathematics (master)
  • WS2017/2018: Risk theory 1 (master) with Mitja Stadje
  • WS2017/2018:  Topics in life and pension insurance (master) with An Chen
  • SS2017: Risk theory 2 (master) with Mitja Stadje
  • SS2017: Seminar in insurance mathematics (master)
  • WS2016/2017: Advanced Topics in Insurance and Finance (master)
  • WS2016/2017: Rough path theory seminar (master) with Robert Stelzer and Urban Karsten
  • SS2015/2016: Special Aspects of Insurance Economics (master seminar) with An Chen
  • SS2015/2016: Insurance Economics (bachelor & master)
  • WS2015/2016: Selected topics in life and pension insurance (Master program), with Peter Hieber
  • WS2015/2016: Special aspects of insurance mathematics (Master seminar with Stefan Schelling)
  • 2013,2014: Calculus, linear algebre, general algebre
  • 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,

 

Academic experience

  • 7/2015: 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.

Publication and preprint

  1. Risk management with multiple VaR constraints ( with An ChenMitja Stadje), acctepted in Mathematical Methods of Operation Research.
  2. Optimal investment under VaR-Regulation and Minimum Insurance ( with An ChenMitja Stadje), Insurance: Mathematics and Economics, 79:194 – 209, 2018. Link
  3. Approximate hedging problem with transaction costs in stochastic volatility markets (with S. Pergamenshchikov). Mathematical Finance, vol. 27, no 3, p. 832-865, 2017. Link
  4. Constrained non-concave utility maximization: an application to life insurance contracts (with An Chen and Peter Hieber), resubmitted to Journal of European Operational Research, in revision.
  5. Optimal investment and consumption with downside risk constraint in jump-diffusion markets. In revision.
  6. Approximate hedging with proportional transaction costs in stochastic volatility models with jumps (with S. Pergamenshchikov).  In revision.
  7. 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

In progress paper

  • Optimal portfolio management with multiple regulations
  • Expected utility maximization in endogenous permanent market impacts ( with Mitja Stadje)
  • Pareto optimal asset allocation under financial fairness (with An Chen)
  • How costly are guarantees? (with An Chen and Manuel Rach)
  • Optimal portfolio for equity-linked insurance contracts under VaR-Regulation ( with  Mitja Stadje)
  • Optimal Investment for equity-linked life insurance contracts: the policyholder problem (with An Chen and Peter Hieber)
  • Indifference pricing of insurance products under SAHARA utility (with An Chen and Nils Sorensen)

Unpublished works

  • Approximate hedging with proportional transaction costs for multi-asset options. 2014
  • Approximate hedging with liquidity costs: a point of view from Leland’s spirit. 2015

 More information can be found in my google page