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.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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
Projects
- 2 Finished
-
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
-
Modelling mortality: a bayesian factor-augmented var (favar) approach
Lu, Y. & Zhu, D., Jan 2023, In: ASTIN Bulletin. 53, 1, p. 29-61 33 p.Research output: Contribution to journal › Article › Research › peer-review
Open AccessFile -
An automated prior robustness analysis in Bayesian model comparison
Chan, J. C. C., Jacobi, L. & Zhu, D., Apr 2022, In: Journal of Applied Econometrics. 37, 3, p. 583-602 18 p.Research output: Contribution to journal › Article › Research › peer-review
Open Access -
A new Bayesian model for contagion and interdependence
Poon, A. & Zhu, D., 2022, In: Econometric Reviews. 41, 7, p. 806-826 21 p.Research output: Contribution to journal › Article › Research › peer-review
Open AccessFile -
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
-
Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method
Kang, B., Shen, Y., Zhu, D. & Ziveyi, J., Jul 2022, In: Insurance: Mathematics and Economics. 105, p. 96-127 32 p.Research output: Contribution to journal › Article › Research › peer-review
3 Citations (Scopus)