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.
  3. Constrained non-concave utility maximization: an application to life insurance contracts (with An Chen and Peter Hieber), submitted to Journal of European Operational Research, in revisison.
  4. T. Nguyen: Optimal investment and consumption with downside risk constraint in jump-diffusion markets. In revision.
  5. T. H. Nguyen and S. Pergamenshchikov. Approximate hedging problem with transaction costs in stochastic volatility markets. Mathematical Finance, vol. 27, no 3, p. 832-865, 2017.
  6. T. H. Nguyen and S. Pergamenshchikov. Approximate hedging with proportional transaction costs in stochastic volatility models with jumps.  In revision.
  7. Thu, N. V., Dung, T. A., Dam, D. T., & Thai, N. H. (2007). Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications. In Stochastic Processes And Applications To Mathematical Finance (pp. 245-258).

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

  • T. H. Nguyen.  Approximate hedging with proportional transaction costs for multi-asset options. 2014
  • T. H. Nguyen.  Approximate hedging with liquidity costs: a point of view from Leland’s spirit. 2015

 More information can be found in my google page