Deng DING丁燈 Associate Professor |

### 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