I am primarly interested in mathematical and computational finance. In particular, I have worked on optimal stopping and free boundary problems, stochastic optimization, and functional projections/expansions for the pricing of exotic options.


[1] Bruno Dupire and V. T.-D. Functional Expansions. arXiv:2212.13628. 2022.

[2] A.M. Reppen, H.M. Soner, and V. T.-D. Neural Optimal Stopping Boundary. arXiv:2205.04595. 2022. In review


[1] A.M. Reppen, H.M. Soner, and V. T.-D. Deep Stochastic Optimization in Finance. Digital Finance, 2022. Link

[2] V. T.-D. Projection of Functionals and Fast Pricing of Exotic Options. SIAM Journal on Financial Mathematics, 13(2):SC74–SC86, 2022. Link


[1] Signature, path-dependence and deep hedging. Bloomberg article, April 2022