Projects per year
Personal profile
Biography
Dr Dan Zhu is an Associate Professor at the Department of Econometrics and Business Statistics, Monash University. She studied a PhD in Financial Mathematics and Actuarial Science in the Economics department, University of Melbourne. 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/territory level. Dive into details by clicking on the dots or
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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
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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
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Generic improvements to least squares monte carlo methods with applications to optimal stopping problems
Wei, W. & Zhu, D., 1 May 2022, In: European Journal of Operational Research. 298, 3, p. 1132-1144 13 p.Research output: Contribution to journal › Article › Research › peer-review
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An automated prior robustness analysis in Bayesian model comparison
Chan, J. C. C., Jacobi, L. & Zhu, D., 2021, (Accepted/In press) In: Journal of Applied Econometrics. 18 p.Research output: Contribution to journal › Article › Research › peer-review
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Dynamic asset allocation for target date funds under the benchmark approach
Sun, J., Zhu, D. & Platen, E., May 2021, In: ASTIN Bulletin. 51, 2, p. 449-474 26 p.Research output: Contribution to journal › Article › Research › peer-review
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Predictive risk analysis using a collective risk model: choosing between past frequency and aggregate severity information
Oh, R., Lee, Y., Zhu, D. & Ahn, J. Y., Jan 2021, In: Insurance: Mathematics and Economics. 96, p. 127-139 13 p.Research output: Contribution to journal › Article › Research › peer-review
1 Citation (Scopus) -
The effect of human mobility restrictions on the COVID-19 transmission network in China
Oka, T., Wei, W. & Zhu, D., Jul 2021, In: PLoS ONE. 16, 7, 16 p., e0254403.Research output: Contribution to journal › Article › Research › peer-review
Open AccessFile5 Citations (Scopus)