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, 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

  • 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

  1. Risk management with multiple VaR constraints (with An ChenMitja Stadje), Mathematical Methods of Operation Research, 2018, p. 1-41. Link
  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), forthcoming in European Journal of Operational Research (link).
  5. 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

In progress paper

  • 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).