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Department of Mathematics https://math.hcmiu.edu.vn Tue, 20 Feb 2024 11:40:24 +0000 en-US hourly 1 114551872 Financial Mathematics and Machine Learning seminar by Prof. Duy Nguyen, Marist College https://math.hcmiu.edu.vn/fin-math-and-ml-seminar-by-prof-duy-nguyen/ Tue, 20 Feb 2024 18:42:37 +0000 https://math.hcmiu.edu.vn/?p=12410 Title: Continuous-time optimal investment with portfolio constraints: a reinforcement learning approach

Invited Speaker: Assoc. Prof. Duy Nguyen, School of Computer Science and Mathematics, Marist College, New York, USA.

Time: 9:00 AM, Wednesday February 28, 2024.

Location: Room A2. 401, International University, Vietnam National University-HCMC.

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Workshop on Financial Engineering and Risk Management https://math.hcmiu.edu.vn/workshop-on-financial-engineering-and-risk-management/ https://math.hcmiu.edu.vn/workshop-on-financial-engineering-and-risk-management/#respond Mon, 18 Dec 2023 10:00:46 +0000 https://math.hcmiu.edu.vn/?p=11841 Read More]]> On the occasion of 10-year anniversary of the undergraduate program of Applied Mathematics specialized in Financial Engineering and Risk Management, the Department of Mathematics organizes a workshop on Financial Engineering and Risk Management, and discuss on the career in FERM.

Time: 1:30 PM December 23, 2023. Venue: A2.104

Invited Speakers:

Ms. Viên Hoàng Hà, Manulife Vietnam

Mr. Đinh Khánh Duy, Sacombank

Mr. Đặng Gia Huy, Data Scientist at VNLIFE 

Mr. Dư Gia Kiên, Broker Manager at TPS

Mr. Nguyễn Trần Duy Tân, KPMG Vietnam

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Applied Statistics Seminar by Prof. Minh-Ngoc Tran, University of Sydney https://math.hcmiu.edu.vn/applied-statistics-seminar-2023/ https://math.hcmiu.edu.vn/applied-statistics-seminar-2023/#respond Wed, 12 Jul 2023 20:17:27 +0000 https://math.hcmiu.edu.vn/?p=11572 Read More]]> Title: Statistics in the data-centric era

Invited Speaker: Professor Minh-Ngoc Tran, Business School, University of Sydney, Australia.

Time: 2PM, Wednesday July 19, 2023.

Location: Room A2. 501, International University, VNU-HCM.

Abstract: Statistics has demonstrated it is escalating significance in the data-centric era, manifesting itself as both a specialized academic discipline and an interdisciplinary field. In this presentation, I aim to provide a birds-eye overview of Bayesian statistics and shed light on its recent advancements. I will then delve into two specific statistical applications that have occupied my attention over the past few years: financial econometrics and empirical psychology. Throughout the discussion, I will recount my personal experiences collaborating with psychologists and financial econometricians as a statistician, emphasizing the invaluable insights gained from these interactions.

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Applied Math student received PhD scholarship from the University of Manchester https://math.hcmiu.edu.vn/applied-mathematics-student-received-phd-scholarship-from-the-university-of-manchester/ https://math.hcmiu.edu.vn/applied-mathematics-student-received-phd-scholarship-from-the-university-of-manchester/#respond Tue, 28 Feb 2023 12:20:01 +0000 https://math.hcmiu.edu.vn/?p=11175 Read More]]> Mr. Nguyen Hung Quang Khai, an alumnus of Applied Mathematics (Financial Engineering and Risk Management) graduating in November 2022, has just received a full scholarship for a 3.5-year PhD program in Financial Mathematics of The University of Manchester, UK. It is one of the top universities in the world, ranked 28th in the world according to the QS World University Rankings 2023.

Born in 2000, Khai is one of the dynamic and talented students of Applied Mathematics program (FERM), International University – Vietnam National University Ho Chi Minh City of Batch 2018-2022. During his studies at IU, Khai won many awards and completed academic projects, including the project that won the first prize at the Vietnam National Econometrics Olympiad in 2021, a silver medal at the National Student Math Olympiad in 2019. In addition, Khai is also an excellent graduate of Applied Mathematics with a GPA of 90.5/100. Before joining Applied Mathematics at IU, Khai studied at Luong Van Chanh high school for the Gifted (Phu Yen).

                                               Mr. Quang Khai in an Applied Mathematics seminar.

Khai firmly believes that he has learned a lot of important knowledge and skills during his study and research activities at International University – Vietnam National University, Ho Chi Minh City. The foundations of the bachelor’s program in Applied Mathematics (Financial Engineering and Risk Management) at IU would be a strong background on his road ahead. With a PhD scholarship in Applied Mathematics, Khai expects to study in-depth the research and apply modern mathematical models to Finance.

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Applied Mathematics student achieved an honor award from VNU-HCM https://math.hcmiu.edu.vn/applied-mathematics-student-received-an-honor-award-from-vnu-hcm/ https://math.hcmiu.edu.vn/applied-mathematics-student-received-an-honor-award-from-vnu-hcm/#respond Wed, 19 Oct 2022 21:50:08 +0000 http://math.hcmiu.edu.vn/?p=10734 Read More]]> Miss Nguyễn Ngọc Phụng, an excellent undergraduate student of the Applied Mathematics program (specialized in Financial Engineering and Risk Management), is one of the seven outstanding students of Vietnam National University-Ho Chi Minh city (VNU-HCM) received the honor award and the medal from the President of VNU-HCM, Prof. Vũ Hải Quân, and from the President of Vietnam, President Nguyễn Xuân Phúc, on October 13, 2022.

             Photo by Ngoc Duong, Thanh Nien News.

Miss Nguyễn Ngọc Phụng has been an undergraduate in the Applied Mathematics program (FERM) since September 2018. Under the mentor of Dr. Tạ Quốc Bảo, she was a member of the IU Applied Mathematics team that won the First Prize in the Olympic Contest of Econometrics and Applications 2021. She was also a member of the team that won the Third Prize at the IU Scientific Conference for Students in 2021. In August 2022, she successfully completed her thesis entitled “Stochastic Calculus on Option Valuation, Option Greeks and Applications in Hedging Strategies” under the supervision of Dr. Nguyễn Minh Quân. Miss Ngọc Phụng has achieved the Valedictorian prize with the highest GPA of 92.6/100 in the IU graduation Batch 2018-2022. This is also the highest GPA in the Applied Mathematics program since 2013. 

The Department of Mathematics congratulates Miss Nguyễn Ngọc Phụng on achieving such a significant milestone in her career path.

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Econometrics and Applied Statistics Seminar by Professor Michael Wolf, University of Zurich https://math.hcmiu.edu.vn/seminar-michael-wolf/ https://math.hcmiu.edu.vn/seminar-michael-wolf/#respond Wed, 07 Sep 2022 09:50:37 +0000 http://math.hcmiu.edu.vn/?p=10562 Read More]]> Seminar title: Large dynamic covariance matrices: Enhancements based on intraday data

Invited Speaker: Professor Michael Wolf, University of Zurich, Switzerland.

Time and date: 2:00 PM, Wednesday, 14 September 2022.

Location: Room A1.204, International University, Vietnam National University-HCM, Quarter 6, Linh Trung Ward, Thu Duc City, Ho Chi Minh City.

Abstract:

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how performance can be increased further by using open/high/low/close (OHLC) price data instead of simply using daily returns. A key innovation, for the improved modeling of not only dynamic variances but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign of the observed return.

About the speaker:     

Michael Wolf is a Professor of Econometrics and Applied Statistics at the University of Zurich and holds a Ph.D. in Statistics from Stanford University. Before joining the Department of Economics at the University of Zurich, he held previous positions at The University of California (Los Angeles), Universidad Carlos III (Madrid), and Universitat Pompeu Fabra (Barcelona). Michael Wolf’s research interests include resampling-based inference, multiple testing methods, the estimation of large-dimensional covariance matrices, and financial econometrics.  His research has been published in leading journals, such as The Annals of Statistics, Biometrika, Econometrica, Journal of the American Statistical Association, and The Review of Financial Studies.

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ANNOUNCEMENT FOR THE GRADUATION THESIS SEMESTER 1, 2022-2023 https://math.hcmiu.edu.vn/announcemnt-for-the-graduation-thesis-semester-1-2022-2023/ https://math.hcmiu.edu.vn/announcemnt-for-the-graduation-thesis-semester-1-2022-2023/#respond Sun, 04 Sep 2022 09:10:30 +0000 http://math.hcmiu.edu.vn/?p=10715 Read More]]> The Department of Mathematics would like to announce the important dates and the following list of the gradation theses in Semester 1, AY 2022-2023.

IMPORTANT DATES:

  • 19/9/2022: Submit the thesis topic
  • 17/10/2022: Submit the proposal
  • 22/10/2022: Proposal defense
  • 10/02/2023: Submit the final thesis report
  • 04/3/2023: Thesis defense

LIST GRADUATION THESIS S1, AY 2022-2023

No. Student ID. Fullname Thesis title Instructors
1 MAMAIU18062 Huỳnh Kim Hoàng Vân Predicting stock price trends using Machine Learning algorithms Dr. Nguyễn Minh Quân
2 MAMAIU18076 Nguyễn Ngân Quỳnh Regression analysis and shrinkage methods in banking data models Dr. Nguyễn Minh Quân
3 MAMAIU18073 Nguyễn Thị Cẩm Thanh Risk Budgeting Approach to Asset Allocation Dr. Tạ Quốc Bảo
4 MAMAIU17032 Đào Lê Mỹ Dung Classify financial data using tree-based methods Dr. Nguyễn Minh Quân
5 MAMAIU16010 Phạm Phú Hanh Stock Market Volatility analysis based on GARCH-type models Dr. Tạ Quốc Bảo
6 MAMAIU18075 Nguyễn Ngọc Bảo Trân An Application of Multiple Linear Regression in Business Dr. Tạ Quốc Bảo
7 MAMAIU16015 Ngô Trung Nam Applying machine learning to create a credit scoring model in banking Assoc. Dr. Trần Vũ Khanh
8 MAMAIU18060 Lâm Huệ Dung Deep learning application in banking Assoc. Dr. Trần Vũ Khanh
9 MAMAIU16062 Trần Vũ Minh Vy Peaks/Valleys Detection in Time Series With Financial Application Dr. Phạm Hải Hà
10 MAMAIU18059 Nguyễn Văn Hòa Impact of Stock split announcements on Stock prices using Event Study Dr. Nguyễn Phương Anh
11 MAMAIU18069 Văn Thị Hồng Nhung Generalized Linear Models and Applications in Insurance Dr. Nguyễn Phương Anh
12 MAMAIU17013 Đoàn Hà Anh Thư Build a credit risk scorecard for lending institutions Dr. Lê Nhật Tân
13 MAMAIU18079 Trần Việt Hằng Driver Churn Prediction for Ride-Hailing Service Dr. Phạm Hải Hà
14 MAMAIU18003 Trần Ngọc Trúc Anh Inflation forecasting methods and applications. Dr. Nguyễn Phương Anh
15 MAMAIU18057 Lương Đỗ Vân Quyên Machine Learning for Retail Price Optimization Assoc. Dr. Trần Vũ Khanh
16 MAMAIU18039 Nguyễn Thị Bảo Thy Deep learning: stock price prediction Assoc. Dr. Trần Vũ Khanh

 

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IU Applied Math students received PhD/MSc scholarships from US universities https://math.hcmiu.edu.vn/iu-applied-math-students-received-phd-msc-scholarships-from-us-universities/ https://math.hcmiu.edu.vn/iu-applied-math-students-received-phd-msc-scholarships-from-us-universities/#respond Wed, 10 Aug 2022 16:19:08 +0000 http://math.hcmiu.edu.vn/?p=10539 Read More]]> The Department of Mathematics is pleased to announce that the three following students majoring in Applied Mathematics (Financial Engineering and Risk Management) have received Ph.D. or MSc scholarships from US universities in Fall 2022.

Ms. Kha Kim Bảo Hân has been awarded the Teaching Assistantship for her Ph.D. program in Statistics from  Western Michigan University (WMU), Michigan, US. Ms. Bảo Hân was an undergraduate student in the Applied Mathematics program (Financial Engineering and Risk Management) during 2014-2018. In 7/2018, right before her thesis defense, she received a scholarship for French-Vietnam Master 2 in Applied Mathematics. She completed her MSc thesis entitled “On symmetric random walks on Z perturbed at 0” under the guidance of Prof. Marc Peigné, Université de Tours. Ms. Bảo Hân worked at the Department of Mathematics of IU as a TA and then as a lecturer since 2020.

Mr. Huỳnh Tấn Vũ has been admitted to the Master’s program in Statistics in Fall of 2022 at Stony Brook University, New York, US (the State University of New York at Stony Brook). Mr. Huỳnh Tấn Vũ was an undergraduate in the Applied Mathematics program (FERM) from September 2018. He was a member of the IU Applied Mathematics team that won First Prize in the Olympic Contest of Econometrics and Applications 2021. Mr. Tan Vu has been working at VietQuant since March 2022.

Mr. Nguyễn Kiến Quốc has received a scholarship (Teaching Assistantship) for his Master’s program in Statistics at the University of Toledo, Ohio, US. Mr. Nguyễn Kiến Quốc was an undergraduate in the Applied Mathematics program (FERM) from September 2017. He worked at SHB Finance after his graduation in March 2022.

Since the first graduation in 2017, there are more than 20 Applied Math students at IU that have received graduate scholarships from abroad institutes to pursue a graduate program in Applied Mathematics or related fields such as Statistics, Machine Learning, Data Science, Quantitative Finance, Business Analyst, Finance and Investment, Actuarial analyst, etc.

The Department of Mathematics of IU congratulates all on achieving such a significant milestone.

 

Kha Kim Bảo Hân

MSc in Applied Maths, Univ. of Tours, France (2019)

Ph.D. student in Statistics 

Western Michigan University, USA

 

Huỳnh Tấn Vũ

Graduate student in Statistics 

State University of New York at Stony Brook, USA

 

 

 

Nguyễn Kiến Quốc

Graduate student in Statistics 

University of Toledo, Ohio, USA

 

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Announcement for the thesis defense, S2 2021-2022 https://math.hcmiu.edu.vn/thesis-defense-s2-2021-2022/ https://math.hcmiu.edu.vn/thesis-defense-s2-2021-2022/#respond Mon, 25 Jul 2022 18:44:16 +0000 http://math.hcmiu.edu.vn/?p=10723 The Department of Mathematics announces the schedule and location for the thesis defense as below. Note: Please select “Open in new Tab” if it takes a long time to open the file.

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Webinar: Differential Game Models Of Optimal Debt Management by Prof. Khai Nguyen, NCSU https://math.hcmiu.edu.vn/webinar-announcement_june-2022/ https://math.hcmiu.edu.vn/webinar-announcement_june-2022/#respond Tue, 07 Jun 2022 14:54:07 +0000 http://math.hcmiu.edu.vn/?p=10508 Read More]]> Title: Differential Game Models Of Optimal Debt Management

Speaker: Dr. Nguyễn Tiến Khải, Associate Professor, Department of Mathematics, North Carolina State University

Time: 9 AM, Sunday – 12 June 2022. Via Zoom. Meeting ID: 215 811 8519. Passcode: 879771

Abstract: I will present recent results on the game-theoretical formulation of optimal debt management problems in an infinite time horizon with exponential discount, modeled as a non-cooperative interaction between a borrower and a pool of risk-neutral lenders. Here, the yearly income of the borrower is governed by a stochastic process and bankruptcy instantly occurs when the debt-to-income ratio reaches a threshold. Since the borrower may go bankrupt in finite time, the risk-neutral lenders will charge a higher interest rate in order to compensate for this possible loss of their investment. Thus, a “solution” must be understood as a Nash equilibrium, where the strategy implemented by the borrower represents the best reply to the strategy adopted by the lenders, and conversely. This leads to highly nonstandard optimization processes”.

 

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