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.

Keywords

  • Financial Mathematics
  • Actuarial Science

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Research Output 2015 2016

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: Research - peer-reviewArticle

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: Research - peer-reviewArticle

First- and second-order Greeks in the Heston model

Chan, J. H., Joshi, M. S. & Zhu, D. 2015 In : Journal of Risk. 17, 4, p. 19-69 51 p.

Research output: Research - peer-reviewArticle