Research

I am primarily interested in mathematical and computational finance. I have enjoyed working on optimal stopping/free boundary problems for the pricing of American options and functional expansions to better understand the role of path dependence in finance. Broadly speaking, I am ardently seeking out beauty in mathematical objects and financial instruments. 

Preprints

[1] H.M. Soner, and V. T.-D. Stopping Times of Boundaries: Relaxation and Continuity. arXiv:2305.09766. 2023

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

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

Publications

[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

Miscellaneous

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