Deng DING丁燈
Associate Professor

Academic Qualifications | Working Experience | Teaching | Research | Selected Publications | Professional Affiliations | Contact Details


Academic Qualification

  • B.Sc., 1983, Guangzhou Normal College, Guangzhou, China.
  • M.Sc., 1988, Sun Yat-Sen University, Guangzhou, China.
  • Ph.D., 1992, Sun Yat-Sen University, Guangzhou, China.
  • 1989-1990:   Studying Japanese, Training Center of Ministry of Education for Studying Overseas (TCMESC), Northeast Normal University, Changchun, China.
  • 1990-1992:   Research Student, Faculty of Engineering, Kyushu University, Fukuoka, Japan.

Working Experience

1983-1985:   Teaching Assistant, Guangdong Businesss College, Guangzhou, China.
1992-1994:   Lecturer, Department of Mathematics, Sun Yat-Sen University, Guangzhou, China.
1994~2001:   Assistant Professor, Department of Mathematics, University of Macau, Macao, China.
2001~   Associate Professor, Department of Mathematics, University of Macau, Macao, China.
2013~2015   Interim Head, Department of Mathematics, University of Macau, Macao, China.
2015~   Head, Department of Mathematics, University of Macau, Macao, China

 


Teaching

B.Sc. Courses

Calculus I, Real Analysis, Probability & Statistics I and II, Mathematical Analysis II and III, Abstract Algebra I. Applied Statistics, Introduction to Stochastic Process, Introduction to Financial Mathematics, etc.

M.Sc. Courses

Real Analysis, Functional Analysis, Stochastic Processes, Financial Mathematics, Stochastic Differential Equations, etc.

Completed Postgraduate Student Supervision

4 PhD students (Supervision) and 6 PhD students (Co-supervisor).
42 MSc students.


Research

Research Interests

Stochastic Differential Equations, Stochastic Optimal Control Theory, Financial Mathematics, Probability, Statistics, and Their Applications.

Recent Research Projects (Since 2006 – present)

  • Numerical Simulations of Reflected Stochastic Differential Equations and Their Applications to Numerical PDEs, RG069/06-07S/DD/FST, UM, Principal Investigator. (2006)
  • Numerical Methods for Financial Derivatives and Saddle Point Problem, 050/2005/A, FDCT, Co-principal Investigator. (2005-2007)
  • Preconditioning Techniques for Large Linear Systems and Their Applications, RG-UL/07-08S/Y1/JXQ/FST, 5 years, UM, Co-principal Investigator.
  • Numerical Solutions and Simulations of Stochastic Volatility Models, RG062/08-09S/DD/FST, UM, Principal Investigator. (2009)
  • The Applications of Fourier Analysis to Pricing Path Dependent Options under Levy Processes, RG058/09-10S/DD/FST, UM, Principal Investigator. (2010)
  • Computational Methods for Financial Derivative Pricing, MYRG136(Y1-L2)-FST11-DD, UM, Principal Investigator. (2011-2014)
  • Numerical Solutions of Stochastic Differential Equations, MYRG068(Y1-L2)-FST13-DD, UM, Principal Investigator. (2013-2015)
  • Some New Methods for Computational Finance and Their Applications, 081/2016/A2, FDCT, Principal Investigator. (2017-2020)
  • Numerical Solutions and Simulations of Reflected Stochastic Differential Equations with Non-Lipschitz Coefficients and Their Applications, MYRG2019-00009-FST, UM, Principal Investigator. (2020-2021)

Selected Publications

Book/Chapter Contributions (Since 2006 – present)

  • X.-Q. Jin, D. Ding, & H.-W. Sun (editors). Recent Advances in Computational Mathematics, Higher Education Press, Beijing; and International Press of Boston, 2008. ISBN: 978-1-57146-132-2.
  • D. Ding. Fourier Transform Methods for Option Pricing (Chapter 11), in S. M. Salih edited “Fourier Transform Application”, InTech, 2012, pp. 265–290. ISBN: 978-953-51-0518-3.

Journal Papers (Since 2006 – present)

  • D. Ding, C. K.-Leong, & X.-Q. Jin (2006). A Simple Analytical and Numerical Approach for Pricing Compound Options. Numerical Mathematics, A Journal of Chinese Universities (English Series), Vol. 15 (No. 4), pp. 367–374.
  • D. Ding (2007). The Filtering Problem in Duals of Nuclear Frechet Spaces. International Mathematical Forum, Vol. 2 (No. 16), pp. 753–764.
  • D. Ding & K.-L. Chan (2007). The Martingale Approach for Credit-Risky Option Pricing. Chinese Journal of Applied Probability and Statistics, Vol. 23 (No. 4), pp. 395–406.
  • D. Ding & Y.-Y. Zhang (2008). A Splitting-Step Algorithm for Reflected Stochastic Differential Equations in R+. Computers and Mathematics with Application, Vol. 55 (No.11), pp. 2413–2425.
  • D. Ding (2009). The Martingale Approach for Credit-Risky Exchange Option Pricing. Applied Mathematical Sciences. Vol. 3 (No. 3), pp. 129–140.
  • D. Ding & C.-I. Chao (2009). An Efficient Numerical Scheme for Simulation of Mean-Reverting Square-Root Diffusions. Journal of Numerical Mathematics and Stochastics, Vol. 1 (No.1), pp. 45–55.
  • D. Ding & S.-C. U (2011). Efficient Option Pricing Methods Based on Fourier Series Expansions. Journal of Mathematical Research and Exposition, Vol. 31 (No. 1), pp. 12–22.
  • D. Ding, N.-Y. Huang, & J.-Y. Zhao (2012). An Efficient Algorithm for Bermudan Barrier Option Pricing. Applied Mathematics — A Journal of Chinese University, Series B, Vol. 27 (No. 1), pp. 49–58.
  • D. Ding, K.-S. Fong, & K.-H. Chan (2012). An Efficient Bayesian Iterative Method for Linear Systems. Journal of Mathematical Research with Applications, Vol. 32 (No. 3), pp. 288–296.
  • Q.-J. Meng & D. Ding (2013). An Efficient Pricing Method for Rainbow Options Based on Two-Dimensional Modified Sine-Sine Series Expansions. International Journal of Computer Mathematics, Vol. 90 (No. 5), pp. 1096–1113.
  • J.-L Yin, D. Ding, Z. Liu, & S. Khoo (2015). Some Properties of Finite-time Stable Stochastic Nonlinear Systems. Applied Mathematics and Computation, Vol. 259, pp. 686–697.
  • D. Ding & W.-F. Wang (2015). An Accumulator Pricing Method Based on Fourier-Cosine Series Expansions. International Journal of Financial Engineering, Vol. 2 (No. 2), 1550019 (16 pages).
  • Q.-J. Meng, D. Ding, & Q. Sheng (2015). Preconditioned Iterative Methods for Fractional Diffusion Models in Finance. Numerical Methods for Partial Differential Equations, Vol. 31 (No. 5), pp. 1382—1395.
  • W.-F. Wang, X. Chen, D. Ding, & S.-L. Lei (2015). Circulant Preconditioning Technique for Barrier Options Pricing under Fractional Diffusion Models. International Journal of Computer Mathematics, Vol. 92 (No. 12), pp. 2596–2614.
  • S.-C. U, J. So, D. Ding, & L.-H. Liu (2016). An Efficient Fourier Expansion Method for the Calculation of Value-at-Risk: Contributions of Extra-ordinary Risks. International Journal of Financial Engineering, Vol. 3 (No. 1) 1650006 (27 pages).
  • D. Ding, W.-F. Wang, & L. Wang (2016). Least-Squares Monte Carlo Methods for Pricing Options Embedded in Mortgages. Journal of Applied Finance and Banking, Vol. 6 (No. 2), pp. 1—20.
  • X.-F. Li, D. Ding, J.-Z. Feng, & S.-B. Hu (2016). Existence and Exponential Stability of Anti-periodic Solutions for Interval General Bidirectional Associative Memory Neural Networks with Multiple Delays. Advances in Difference Equations, 2016:190 (12 pages).
  • X.-F. Li, D. Ding, L.-P. Xu, C. Qin, & S.-B. Hu (2017). Certain Subclasses of Multivalent Functions Defined by Higher-order Derivative. Journal of Function Spaces. Vol. 2017: 5739169, 6 pages.
  • X.-F. Li & D. Ding (2017). Mean Square Exponential Stability of Stochastic Hopfield Neural Networks with Mixed Delays. Statistics and Probability Letters. Vol. 126, pp. 88—96.
  • X. Chen, W.-F. Wang, D. Ding, & S.-L. Lei (2017). A Fast Preconditioned Policy Iteration Method for Solving the Tempered Fractional HJB Equation Governing American Options Valuation. Computers and Mathematics with Applications, Vol. 73, pp. 1932—1944.
  • Y.-Q. Liu, Q. Liu, Z. Liu, & D. Ding (2017). Determining the Integrated Volatility via Limit Order Books with Multiple Records. Quantitative Finance, Vol.17 (No.11), pp. 1697—1714.
  • D. Ding, X.-F. Li, & Y.-Q. Liu (2017). A Regression-Based Numerical Method for Forward-Backward Stochastic Differential Equations. Computational Statistics, Vol. 32, pp. 1357—1373.
  • S.-L. Lei, W.-F. Wang, X. Chen, & D. Ding (2018). A Fast Preconditioned Penalty Method for American Options Pricing under Regime-Switching Tempered Fractional Diffusion Models. Journal of Scientific Computing, Vol. 75, pp. 1633— 1655.
  • X.-F. Li, D. Ding, & D. Sang (2018). Exponential Stability of Stochastic Cellular Neural Networks with Mixed Delays. Communications in Statistics – Theory and Methods, Vol. 47, No. 19, pp. 4881-4894.
  • X. Chen, D. Ding, S.-L. Lei, & W.-F. Wang. A Fast Preconditioned Iterative Method for Two-dimensional Options Pricing under Fractional Differential Models. Accepted for publication in Computers and Mathematics with Applications, July 2019.
  • J.-L. Yin, D. Ding, & S. Khoo. Domain Recurrence and Probabilistic Analysis of Residence Time of Stochastic Systems and Domain Aiming Control. Submitted, 2018.
  • X. Chen, D. Ding, S.-L. Lei, & W.-F. Wang. An Implicit-Explicit Preconditioned Direct Method for Pricing Options under Regime-Switching Tempered Fractional Partial Differential Models. Submitted, 2019.

Conference Papers (Since 2006 – present)

  • D. Ding, Y-Y. Zhang, & I.-I. Chan (2006). Numerical Approximation and Simulation for Reflected Stochastic Differential equations. In “Proceedings of RIUPEEC 2006”, UM, 2006.
  • D. Ding & Y.-Y. Zhang (2008). Numerical Solutions for Reflected Stochastic Differential Equations. In “Recent Advances in Computational Mathematics”, eds. by X. Jin, et al, International Press of Boston (ISBN: 978-1-57146-132-2), pp. 119–137.
  • D. Ding, X.-Q. Jin, & Y.-Y. Zhang (2008). Numerical Comparison of Monte Carlo Methods for Linear Systems. In “Recent Advances in Computational Mathematics”, eds. by X. Jin, et al, International Press of Boston (ISBN: 978-1-57146-132-2), pp. 103–118.
  • D. Ding & S.-C. U (2010). An Accurate and Stable FFT-based Method for Pricing Options under Exp-Levy Processes. In “Proceedings of the 2nd International Symposium on Computational Mechanics and the 12th International Conference on the Enhancement and Promotion of Computational Methods in Engineering and Science”, eds by J. W. Z. Lu, et al, American Institute of Physics, ISBN: 978-0-7354-0778-7, pp. 741–746.
  • D. Ding & C.-I. Chao (2010). An Efficient and Fast Algorithm for Simulations of Mean–reverting Square–root Diffusions. In “Proceedings of the 2nd International Symposium on Computational Mechanics and the 12th International Conference on the Enhancement and Promotion of Computational Methods in Engineering and Science”, eds by J. W. Z. Lu, et al, American Institute of Physics, ISBN: 978-0-7354-0778-7, pp. 795–800.
  • D. Ding, Z.-Q. Weng, & J.-Y. Zhao (2012). An Accurate FFT-based Algorithm for Bermudan Barrier Option Pricing. Intelligent Information Management, Vol. 4 (No. 3), pp. 89–93.
  • D. Ding, Q. Fu, & J. So (2012). Pricing Callable Bonds Based on Monte Carlo Simulation Techniques. Technology and Investment, Vol. 3 (No. 2), pp. 121–125.
  • D. Ding, Q.-J. Meng, & J.-Y. Zheng (2014). Efficient Rainbow Options Pricing Methods Based on Two-dimensional Fourier Series Expansions. Applied Mechanics and Materials, Vols. 444-445, pp. 692–697.
  • D. Ding, L. Wang, & W.-F. Wang. Least-Squares Monte Carlo Methods for Pricing Options Embedded in Mortgages. International Symposium on Differential Equations and Stochastic Analysis in Mathematics Finance, July 12th-16th, 2014, Sanya, China.
  • D. Ding, Y.-Q. Liu, Z.-J. Cao, & Q. Liu. A Regression-based Numerical Method for Forward-Backward Stochastic Differential Equations. 8th International Congress of Industrial and Applied Mathematics, August 10-14, 2015 Beijing, China

Contact Details

Faculty of Science and Technology
University of Macau, E11
Avenida da Universidade, Taipa,
Macau, China

Room: E11-3063
Telephone: (853) 8822-4372
Fax: (853) 8822-2426
Email: dding