Concepedia
Statistics
Publications
21
Citations
818
H-Index
15
Active since
2013
Affiliations
Marist University(Current)
Georgia Institute of Technology
Stevens Institute of Technology
University of Alabama
Duy Nguyen is an author at Marist University specializing in financial economics, finance, and stochastic processes.
Publications per year
2013–2023
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Zhenyu Cui, Justin Kirkby, Duy Nguyen · European Journal of Operational Research · 2017 · 110 citations
Business, Finance, Financial Econometrics +15
A General Valuation Framework for SABR and Stochastic Local Volatility Models
Zhenyu Cui, Justin Kirkby, Duy Nguyen · SIAM Journal on Financial Mathematics · 2018 · 95 citations
Business, Finance, Financial Economics +15
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Zhenyu Cui, Justin Kirkby, Duy Nguyen · Insurance Mathematics and Economics · 2017 · 89 citations
Business, Economics, Finance +16
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Justin Kirkby, Duy Nguyen, Zhenyu Cui · Journal of Economic Dynamics and Control · 2017 · 86 citations
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Justin Kirkby, Duy Nguyen · Annals of Finance · 2020 · 70 citations
1–5 of 21