(please send me a short email in advance)
- 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, 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
- 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.
- 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
- 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
- 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).
- 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).
- Approximate hedging with proportional transaction costs in stochastic volatility models with jumps (with S. Pergamenshchikov). Working paper (arXiv link).
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).