Research

PhD Dissertation

V. T.-D.  Free Boundaries, Functional Expansions, and Occupied Processes. Princeton University ProQuest Dissertations & Theses. 2024

Working Papers

[•] W. Schachermayer, J. Teichmann, and V. T.-D. Invariance View on Signature and a Dual Proof of Hambly-Lyons' Theorem

[•] V. T.-D. Pathwise Superhedging of Asian Claims. Slides

[•] Y. Huang, V. T.-D., and X. Zhang. Deep BSDE solver for occupied pricing PDEs

Preprints

[12] V. T.-D., and X. Zhang. Cylindrical Projections of Occupied Diffusions. In review. 2026 

[11] V. T.-D. Pricing with Passion: The Local Occupied Volatility (LOV) Model. In review. 2026. Slides

[10] B. Liang, M. Nutz, S. Sheng, and V. T.-D.  Bid-Ask Martingale Optimal Transport.  In review. arXiv:2603:24605. 2026. 

[9] H. Mete Soner, V. T.-D., and Jianfeng Zhang. Controlled Occupied Processes and Viscosity Solutions. In review. arXiv:2411.12080. 2024. 

[8] B. Dupire and V. T.-D.  Functional Expansions. In review. arXiv:2212.13628. 2022.

Publications

[7]  V. T.-D.  Occupied Processes: Going with the Flow. Stochastic Processes and Their Applications, 2026. Link. Preprint: arXiv:2311.07936. 

[6] H. Mete Soner, and V. T.-D.  Stopping Times of Boundaries: Relaxation and Continuity. SIAM Journal on Control and Optimization, 2025. Link. Preprint: arXiv:2305.09766

[5] A. Max Reppen, H. Mete Soner, and V. T.-D.  Neural Optimal Stopping Boundary. Mathematical Finance, 1-29, 2024. Link. Preprint: arXiv:2205.04595

[4]  B. Dupire and V. T.-D.  Signature and the Functional Taylor Expansion. Contributed chapter in the book "Signature methods in Finance", Springer. Link (to appear Oct. 2025)

[3] M. Shkolnikov, H. Mete Soner, and V. T.-D.  Deep Level-set Method for Stefan Problems. Journal of Computational Physics, 2024. Link. Preprint arXiv:2306.11601 

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

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

Referee Activities

SIAM Journal on Financial Mathematics, Stochastic Processes and their Applications, Electronic Journal of Probability, SIAM Journal on Control and Optimization, Mathematics of Operations Research, Quantitative Finance, Applied Mathematical Finance, Journal of Computational Finance, Stochastics, Chapman and Hall / CRC, Springer