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- 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.
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
- 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,
- 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
- Risk management with multiple VaR ( with An Chen, Mitja Stadje), working paper
- Optimal investment under VaR-Regulation and Minimum Insurance ( with An Chen, Mitja Stadje), submitted, 2016
- T. Nguyen: Optimal investment and consumption with downside risk constraint in jump-diffusion markets, submitted, 2016.
- T. H. Nguyen. Approximate hedging with proportional transaction costs for multi-asset options. Submitted to Mathematical Finance
- T. H. Nguyen. Leland’s strategy with general transaction costs. Preprint, 2013.
- T. H. Nguyen. Approximate hedging with liquidity costs: a point of view from Leland’s spirit. Submitted
- T. H. Nguyen and S. Pergamenshchikov. Approximate hedging problem with transaction costs in stochastic volatility markets. Mathematical Finance (accepted :http://onlinelibrary.wiley.com/doi/10.1111/mafi.12094/abstract)
- T. H. Nguyen and S. Pergamenshchikov. Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. Submitted to Applied Financial Mathematics, available at hal.archives-ouvertes.fr/hal-00979199, 2014.
- T. V. Nguyen, D. A. To, D.T Duong, and T. H. Nguyen. Spectral Representation of Multiply Self Decomposable Stochastic Processes and Applications. World Scientific, 2006.
In progress paper
- Optimal portfolio for equity-linked insurance contracts under VaR-Regulation ( with An Chen, 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)
More information can be found in my google page