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Personal profile

Biography

Fima works in the School of Mathematical Sciences at Monash University as a Professor

Fima's research areas of interest are:

  • Stochastic Processes
  • Applied Probability
  • Stochastic Calculus
  • Financial Mathematics
  • Mathematical Biology
  • Population Dependent Branching Processes

Research interests

Stochatsic Processes, Applied Probability, Financial Mathematics, Stochastic Calculus, Mathematical Biology, Population dependent Branching processes.

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Projects 2002 2019

Research Output 1983 2019

2 Citations (Scopus)

Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 2019, In : Quantitative Finance. 19, 3, p. 519-532 14 p.

Research output: Contribution to journalArticleResearchpeer-review

Expectation of local times and the Dupire formula

Hamza, K. & Klebaner, F. C., 2019, (Accepted/In press) In : Stochastic Processes and their Applications. p. 1-6 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Large Deviations for processes on half-line: Random Walk and Compound Poisson

Klebaner, F. C. & Mogulskii, A. A., 2019, In : Siberian Electronic Mathematical Reports. 16, p. 1-20 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Populations with interaction and environmental dependence: From few, (almost) independent, members into deterministic evolution of high densities

Chigansky, P., Jagers, P. & Klebaner, F. C., 2019, In : Stochastic Models. 35, 2, p. 108-118 11 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File
1 Citation (Scopus)

Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method

Zhang, H., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 1 Jun 2019, In : Journal of Computational Finance. 23, 1, p. 97-127 31 p.

Research output: Contribution to journalArticleResearchpeer-review