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

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Projects 2018 2020

• 1 Active

Projects per year

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 2015 2019

• 6 Article

Research Output per year

Indirect inference with a non-smooth criterion function

Frazier, D. T., Oka, T. & Zhu, D., 2019, (Accepted/In press) In : Journal of Econometrics. 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

1 Citation (Scopus)

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

2 Citations (Scopus)

Optimal partial proxy method for computing Gammas of financial products with discontinuous and angular payoffs

Joshi, M. S. & Zhu, D., 2016, In : Applied Mathematical Finance. 23, 1, p. 22-56 35 p.

Research output: Contribution to journal › Article › Research › peer-review

The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital

Joshi, M. S. & Zhu, D., 1 May 2016, In : ASTIN Bulletin. 46, 2, p. 431-467 37 p.

Research output: Contribution to journal › Article › Research › peer-review