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.
2015~2020 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).
49 MSc students.

Research

Research Interests

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

Recent Research Projects (Since 2012 – present)

  • 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. (2020-2022)

Selected Publications (Since 2012 – present)

  1. G. Yuan, D. Ding, J. Duan, W. Lu, & F. Wu (2022). Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations. Chaos, Vol. 32, 023127. (SCIE. JCR 2020 IF: 3.642, Rank: Q1, 13/265 in Mathematics, Applied)
  2. H. Qin, F. Wu, & D. Ding (2022). A linearized compact ADI numerical method for the two-dimensional nonlinear delayed Schrödinger equation. Appl. Math. Comput., Vol. 412, 126580. (SCIE. JCR 2020 IF 4.091, Rank: Q1, 7/265 in Mathematics, Applied)
  3. X. Chen, D. Ding, S.-L. Lei, & W. Wang (2021). An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models. Numer. Algorithms, Vol. 87, pp. 939-965. (SCIE. JCR 2020 IF: 3.041, Rank: 24/265, Q1 in Mathematics, Applied)
  4. J. Yin, D. Ding, & S. Khoo (2020). Domain recurrence and probabilistic analysis of residence time of stochastic systems and domain aiming control. Int. J. Robust Nonlin., Vol. 30, pp. 6585-6605. (SCIE, JCR 2020 IF: 1.55, Rank: 19/63, Q2 in Automation & Control System)
  5. X. Chen, D. Ding, S.-L. Lei, & W. Wang (2020). A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models. Comput. Math. Appl., Vol. 79, pp. 440-456. (SCIE. JCR 2020 IF: 3.476, Rank: 16/265, Q1 in Mathematics, Applied)
  6. X. Li, D. Ding, & D. Sang (2018). Exponential stability of stochastic cellular neural networks with mixed delays. Commun. Stat. Theory Methods, Vol. 47, pp. 4881-4894. (SCIE. JCR 2017 IF: 0.353. Rank: Q4 in Statistics & Probability)
  7. S.-L. Lei, W. Wang, X. Chen, & D. Ding (2018). A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models. J. Sci. Comput., Vol. 75, pp. 1633-1655. (SCIE. JCR 2018 IF: 2.370, Rank: Q1 in Mathematics, Applied)
  8. D. Ding, X. Li, & Y. Liu (2017). A regression-based numerical scheme for backward stochastic differential equations. Comput. Stat., Vol. 32, pp. 1357-1373. (SCIE. JCR 2017 IF: 0.828, Rank: Q3 in Statistics & Probability)
  9. Y. Liu, Q. Liu, Z. Liu, & D. Ding (2017). Determining the integrated volatility via limit order books with multiple records. Quant. Finance, Vol. 17, pp. 1697-1714. (SCIE. JCR 2017 IF: 1.17, Rank: Q2 in Economics)
  10. X. Chen, W. Wang, D. Ding, & S.-L. Lei (2017). A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation. Comput. Math. Appl., Vol. 73, pp. 1932-1944. (SCIE. JCR 2017 IF: 1.86, Rank: Q1 in Mathematics, Applied)
  11. X. Li & D. Ding (2017). Mean square exponential stability of stochastic Hopfield neural networks with mixed delays. Stat. Probab. Lett., Vol. 126, pp. 88-96. (SCIE. JCR 2017 IF: 0.533, Rank: Q4 in Statistics & Probability)
  12. X. Li, D. Ding, L. Xu, C. Qin, & S. Hu (2017). Certain subclasses of multivalent functions defined by higher-order derivative. J. Funct. Spaces, Vol. 2017, 5739169. (SCIE. JCR 2017 IF: 0.639, Rank: Q3 in Mathematics)
  13. X. Li, D. Ding, J. Feng, & S. 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, Vol. 2016: 190. (SCIE. JCR 2016 IF: 0.335, Rank: Q4 in Mathematics, Applied)
  14. S.-C. U, J. So, D. Ding, & L. Liu (2016). An efficient Fourier expansion method for the calculation of Value-at-Risk: Contributions of extra-ordinary risk. International Journal of Financial Engineering, Vol. 3, 1650006.
  15. D. Ding, W. 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.
  16. W. Wang, X. Chen, D. Ding, & S.-L. Lei (2015). Circulant preconditioning technique for barrier options pricing under fractional diffusion models. Int. J. Comput. Math., Vol. 92, pp. 2596-2614. (SCIE. JCR 2015 IF: 0.577, Rank: Q4 in Mathematics, Applied)
  17. Q. Meng, D. Ding, & Q. Sheng (2015). Preconditioned iterative methods for fractional diffusion models in finance. Numer. Methods Partial Differ. Equ., Vol. 31, pp. 1382-1395. (SCIE. JCR 2015 IF: 0.964, Rank: Q2 in Mathematics, Applied)
  18. D. Ding & W. Wang (2015). An accumulator pricing method based on Fourier-cosine series expansions. International Journal of Financial Engineering, Vol. 2, 1550019.
  19. J. Yin, D. Ding, Z. Liu, & S. Khoo (2015). Some properties of finite-time stable stochastic nonlinear systems. Appl. Math. Comput., Vol. 259, pp. 686-697. (SCIE. JCR 2015 IF: 1.345, Rank: Q1 in Mathematics, Applied)
  20. D. Ding, Q. Meng & J. Zheng, Efficient rainbow options pricing methods based on two-dimensional Fourier series expansions, Applied Mechanics and Materials”, Vols. 444-445, pp. 692-697.
  21. Q. Meng & D. Ding (2013). An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions. Int. J. Comput. Math., Vol. 90, pp. 1096-1113. (SCIE. JCR 2013 IF: 0.721, Rank: Q3 in Mathematics, Applied)
  22. 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.
  23. D. Ding, N. Huang, & J. Zhao (2012). An efficient algorithm for Bermudan barrier option pricing. Applied Mathematics – A Journal of Chinese University, Series B, Vol. 27, pp. 49–58.
  24. D. Ding, Z. Weng, & J. Zhao (2012). An accurate FFT-based algorithm for Bermudan barrier option pricing. Intelligent Information Management, Vol. 4 (No. 3), pp. 89-93.
  25. 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.
  26. D. Ding (2012). Fourier transform methods for option pricing, Fourier Transform Application, InTech, pp. 265-290.

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