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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

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Projects

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 journalArticleResearchpeer-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 proceedingChapter (Book)Researchpeer-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 journalArticleResearchpeer-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 journalArticleResearchpeer-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 journalArticleResearchpeer-review

1 Citation (Scopus)