Projects per year
Personal profile
Biography
Dr Dan Zhu is a lecturer at the department of Econometrics and Business Statistics, Monash University. She studied a Ph.D. in Financial mathematics and Actuarial Science at the Economics department, University of Melbourne, and awarded in May 2016. Dr Dan Zhu's research interests include numerical methods for sensitivity analysis, financial mathematics, optimization of stochastic dynamical systems and Bayesian analysis.
Research area keywords
- Financial Mathematics
- Actuarial Science
- Simulation
- Bayesian Methods
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.
Projects
- 2 Active
Data61 CRP #45 - Developing advanced Monte-Carlo simulation methods and utilising the partial proxy approach to create stable and accurate first and second order derivatives of financial options
Zhu, D., Zhu, Z., Langrene, N., Dong, W. & Knight, K.
1/01/20 → 31/12/22
Project: Research
Prior sensitivity analysis for Bayesian Markov chain Monte Carlo ouput
Jacobi, L., Zhu, D. & Joshi, M. S.
Australian Research Council (ARC)
1/01/18 → 31/12/20
Project: Research
Research Output
Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation
Chan, J. C. C., Jacobi, L. & Zhu, D., 2020, (Accepted/In press) In : Journal of Forecasting. 22 p.Research output: Contribution to journal › Article › Research › peer-review
How sensitive are VAR forecasts to prior hyperparameters? An automated sensitivity analysis
Chan, J. C. C., Jacobi, L. & Zhu, D., 2019, Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part A. Jeliazkov, I. & Tobias, J. L. (eds.). 1st ed. Bingley UK: Emerald Group Publishing Limited, p. 229-248 20 p. (Advances in Econometrics; vol. 40).Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review
Indirect inference with a non-smooth criterion function
Frazier, D. T., Oka, T. & Zhu, D., Oct 2019, In : Journal of Econometrics. 212, 2, p. 623-645 23 p.Research output: Contribution to journal › Article › Research › peer-review
An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model
Joshi, M. S. & Zhu, D., 1 Sep 2016, In : Journal of Computational Finance. 20, 1, p. 113-137 25 p.Research output: Contribution to journal › Article › Research › peer-review
An exact method for the sensitivity analysis of systems simulated by rejection techniques
Joshi, M. S. & Zhu, D., 1 Nov 2016, In : European Journal of Operational Research. 254, 3, p. 875-888 14 p.Research output: Contribution to journal › Article › Research › peer-review
1
Citation
(Scopus)