Duy Nguyen
Marist College
H-index: 16
North America-United States
Top articles of Duy Nguyen
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
On short-time behavior of implied volatility in a market model with indexes | arXiv preprint arXiv:2402.16509 | Huy N Chau Duy Nguyen Thai Nguyen | 2024/2/26 |
On the inversion-free Newton’s method and its applications | International Statistical Review | H Chau J Kirkby D Nguyen D Nguyen N Nguyen | 2024 |
Stability of Coupled Jump Diffusions and Applications | Journal of Differential Equations | Dang Nguyen Duy Nguyen Nhu Nguyen George Yin | 2024 |
Natural gradient Variational Bayes without matrix inversion | arXiv preprint arXiv:2312.09633 | A Godichon-Baggioni D Nguyen MN Tran | 2023/12/15 |
An in depth introduction to variational Bayes note | Duy Nguyen | 2023/8 | |
Essential Aspects of Bayesian data imputation | William Holt Duy Nguyen | 2023/7 | |
Spline local basis methods for nonparametric density estimation | Statistics Surveys | J Lars Kirkby Álvaro Leitao Duy Nguyen | 2023 |
Maximum Likelihood Estimation of Diffusions by Continuous Time Markov Chain | Computational Statistics and Data Analysis | J LARS Kirkby Dang Nguyen Duy Nguyen Nhu Nguyen | 2022/4 |
Inversion-free subsampling Newton’s method for large sample logistic regression | Statistical Papers | J Lars Kirkby Dang H Nguyen Duy Nguyen Nhu N Nguyen | 2022/6/1 |
A Novel Sampling Method based on Orthogonal Polynomial Expansions and Applications | Available at SSRN 3862760 | Zhenyu Cui Justin Kirkby Duy Nguyen Stephen Michael Taylor | 2021/6/8 |
Stability in distribution of path-dependent hybrid diffusion | SIAM Journal on Control and Optimization | Dang H Nguyen Duy Nguyen Son L Nguyen | 2021 |
Equity-linked guaranteed minimum death benefits with dollar cost averaging | Insurance: Mathematics and Economics | J Lars Kirkby Duy Nguyen | 2021/9/1 |
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations | European Journal of Operational Research | Zhenyu Cui J Lars Kirkby Duy Nguyen | 2021/5/1 |
Nonparametric Density Estimation and Bandwidth Selection With B-Spline Bases: A Novel Galerkin Method | Computational Statistics and Data Analysis, | J LARS KIRKBY ÁLVARO LEITAO DUY NGUYEN | 2021 |
A data-driven framework for consistent financial valuation and risk measurement | European Journal of Operational Research | Zhenyu Cui J Lars Kirkby Duy Nguyen | 2021/2/16 |
A Closed-form Model-free Implied Volatility Formula through Delta Sequences | Journal of Derivatives, forthcoming | Zhenyu Cui Justin Kirkby Duy Nguyen Stephen Michael Taylor | 2020/7/23 |
Variationals Bayes on Manifolds | Statistics and Computing | M-N Tran H.D. Nguyen D. Nguyen | 2021 |
A probabilistic approach to the moments of binomial random variables and application | The American Statistician | Duy Nguyen | 2021/1/21 |
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models | Annals of Finance | JL Kirkby D Nguyen | 2020 |
A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions | Applied Mathematics and Computation | J Lars Kirkby Dang H Nguyen Duy Nguyen | 2020/12/1 |
Co-Authors
