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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.

Keywords

  • Financial Mathematics
  • Actuarial Science

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Projects 2018 2020

Research Output 2015 2016

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

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 journalArticleResearchpeer-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 journalArticleResearchpeer-review

First- and second-order Greeks in the Heston model

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

Research output: Contribution to journalArticleResearchpeer-review