• A. Chen, T. Nguyen and M. Rach. A collective investment problem in a stochastic volatility enrivonment: The impact of sharing rules. Annals of Operations Research (accepted with minor revision).
• A. Chen, T. Nguyen and M. Rach. Optimal collective investiment: The impact of sharing rules, management fees and guarantees. Journal of Banking and Finance. Vol. 123, 2021.
• A. Chen, T. Nguyen and N. Sorensen. Indifference pricing under SAHARA utility. Journal of Computation and Applied Mathematics. Vol. 388, 2021.
• T. Nguyen and S. Pergamenshchikov. Approximate hedging with proportional transaction costs in stochastic volatility models with jumps. SIAM Theory of Probability and its Applications 65(2):224-248, 2020. 
• T. Nguyen and  M. Stadje. Non-concave optimal investment with VaR constraint: an application to life insurance contracts, SIAM Journal on Control and Optimization 58(2):895-936, 2020. 
• A. Chen, P. Hieber, and T. Nguyen. Constrained non-concave utility maximization: an application to life insurance contracts with guarantees. European Journal of Operational Research, 273(3):1119–1135, 2019
• A. Chen, T. Nguyen, and M. Stadje. Optimal investment under Var-Regulation and Minimum Insurance. Insurance: Mathematics and Economics, 79:194–209, 2018. 
• A. Chen, T. Nguyen, and M. Stadje. Risk management with multiple VaR constraints. Mathematical Methods of Operational Research, 88:297–337, 2018.
• T. Nguyen and S. Pergamenshchikov. Approximate hedging problem with transaction costs in stochastic volatility markets. Mathematical Finance, 27(3):832–865, 2017.
• T.A. Dung, D.T Duong, T. Nguyen and N.V. Thu. Spectral Representation of Multiply Self-decomposable Stochastic Processes and Applications. Stochastic Processes and Applications to Mathematical Finance : Proceeding of the 6th Ritsumeikan International Symposium, pp. 245–258, 2007.

Travaux en cours ou soumis

• Forward BSDEs and backward SPDEs for utility maximization under endogeneous pricing (with Mitja Stadje).
• Non-concave expected utility optimization when investment horizon is uncertain (with Mitja Stadje and Christian Dehm).
• Optimal investment under weighted limited expected loss constraint (with An Chen).
• Approximate hedging with transaction cost under regime switching models  (with Huy N. Chau and Duy Nguyen).
• Arrow-Debreu equilibria with regret (with An Chen and Tim Boonen).
• Unit-linked tontine products : designs and utility-based analysis (with An Chen and Thorsten Sehner).

• Risk and Statistics - 2nd ISM-UUlm Joint Workshop, Ulm Germany, 8-10 oct. 2019
• Risk management with multiple VaR constraints, 10th World Congress of Bachelier Finance Society July 16-20th 2018, Dublin, Ireland. 
• Risk management with multiple VaR constraints, 31st International Congress of Actuaries June 4-8th 2018, Berlin, Germany. 
• Funding life insurance contracts with guarantees: how can we optimally respond to the policyholder’s needs, 4th Fudan-Ulm Symposium on Finance and Insurance, September 4-5th, 2017, Shanghai, Germany. 
• Optimal investment under VaR-regulation and minimum insurance, invited talk in AFI, seminar, KU Leuven, June 8th, 2017, Leuven, Belgium. 
• Optimal investment under VaR-regulation and minimum insurance, The 20th SGF, March 31th, 2017, Zurich, Switzerland.
• Optimal investment under VaR regulation for life insurance contracts with guarantees, 10th Actuarial and Financial Mathematics Conference, February 9-10th, 2017, Brussels, Belgium.
• Optimal investment under VaR regulation for life insurance contracts with guarantees, 11th Bachelier Colloquium on Mathematical Finance, January, 2017, Metabief, France.
• Optimal investment and consumption with dynamically bounded downside risk in jump-diffusion markets, 5th Berlin Workshop on Mathematical Finance for Young Researchers, June 1-4, 2016, Berlin, Germany. 
• Optimal investment and consumption with dynamically bounded downside risk in jump-diffusion markets, The 4th Asian Quantitative Finance Conference, February 21-23, 2016, Osaka, Japan.
• Approximate option replication with liquidity risk: from Leland’s point of view, Paris-Southeast Asia Conference in Mathematical Finance, 7-11 February 2015, Siem Reap, Cambodia.
• Approximate hedging with transaction costs for muti-asset options, 8th Bachelier colloquium on Mathematical Finance and Stochastic calculus, January 12-18, 2014, Métabief, France. 
• Option replication with general transaction costs in stochastic volatility markets, 7th Bachelier colloquium on Mathematical Finance and Stochastic calculus, January 13-20, 2013, Métabief, France.
• Approximate hedging problem with transaction costs in stochastic volatility markets, invited talk in Section of Stochastic Analysis and Statistics in Finance, VMS-SMF Joint Congress, August 20-24, 2012, Hue city, Vietnam.
• Leland strategy for stochastic volatility markets, 2nd Stochastic Modelling Techniques and Data Analysis International Conference, June 5-8, 2012, Chania, Greece.

• Chaire de leadership en enseignement en gestion actuarielles des risques d’actifs-Caisse de dépôt et placement du Québec
• Société d'assurances et de mathématiques financières de l’Allemagne

• Ph.D. Mathématiques, Université de Rouen (oct. 2014)
• M.Sc. Probabilité et Statistique, Université des Sciences naturelles de HCM ville (2007)
• B. Sc. Mathématiques, Université des Sciences naturelles de HCM ville (2003)