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Research Output 1983 2019

2019

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

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
2018

Instantaneous mutation rate in cancer initiation and progression

Sun, S., Klebaner, F. C., Zhang, X. & Tian, T., 22 Nov 2018, In : BMC Systems Biology. 12, Suppl 6, p. 91-98 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Persistence of small noise and random initial conditions

Baker, J., Chigansky, P., Hamza, K. & Klebaner, F. C., 1 Dec 2018, In : Advances in Applied Probability. 50, A, p. 67-81 15 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

What can be observed in real time PCR and when does it show?

Chigansky, P., Jagers, P. & Klebaner, F. C., Feb 2018, In : Journal of Mathematical Biology. 76, 3, p. 679-695 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2017

Mathematical model for pancreatic cancer progression using non-constant gene mutation rate

Sun, S., Klebaner, F. & Tian, T., 15 Dec 2017, Proceedings: 2017 IEEE International Conference on Bioinformatics and Biomedicine (BIBM). Hu, X., Gong, Y., Shyu, C-R., Korkin, D., Bromberg, Y., Yoo, I., Gao, J. & Zheng, J. H. (eds.). Piscataway NJ USA: IEEE, Institute of Electrical and Electronics Engineers, Vol. 2017-January. p. 138-141 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Mathematical modelling for variations of inbreeding populations fitness with single and polygenic traits

Sun, S., Klebaner, F. & Tian, T., 14 Mar 2017, In : BMC Genomics. 18, Suppl 2, 11 p., 196.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Optimal portfolios with downside risk

Klebaner, F., Landsman, Z., Makov, U. & Yao, J., 2017, In : Quantitative Finance. 17, 3, p. 315-325 11 p.

Research output: Contribution to journalArticleResearchpeer-review

2016

A mathematical model for chaotic cancer evolution

Sun, S., Klebaner, F. C. & Tian, T., 2016, In : International Journal of Management and Applied Science. 2, 7, p. 153-157 5 p.

Research output: Contribution to journalArticleResearchpeer-review

From size to age and type structure dependent branching: a first step to sexual reproduction in general population processes

Jagers, P. & Klebaner, F. C., 7 Sep 2016, Branching Processes and Their Applications. del Puerto, I. M., Gonzalez, M., Gutierrez, C., Martinez, R., Minuesa, C., Molina, M., Mota, M. & Ramos, A. (eds.). Switzerland: Springer, p. 137-148 12 p. (Lecture Notes in Statistics; vol. 219).

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

On the emergence of random initial conditions in fluid limits

Barbour, A. D., Chigansky, P. & Klebaner, F. C., 1 Dec 2016, In : Journal of Applied Probability. 53, 4, p. 1193-1205 13 p.

Research output: Contribution to journalArticleResearchpeer-review

On the establishment, persistence, and inevitable extinction of populations

Hamza, K., Jagers, P. & Klebaner, F. C., 2016, In : Journal of Mathematical Biology. 72, 4, p. 797-820 24 p.

Research output: Contribution to journalArticleResearchpeer-review

The Effects of Liquidity on Multi-period Portfolio Selection: A Case Study of American Sector ETFs

Zhang, R., Langrené, N., Tian, Y., Zhu, Z., Klebaner, F. C. & Hamza, K., 2016, Proceedings of 4th Annual International Conference on Operations Research and Statistics. Ganikhodjaev, N. (ed.). Singapore: Global Science and Technology Forum, p. 75-83 9 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

2015

A new approach for estimating probability of metastasis at diagnosis

Sun, S., Klebaner, F. & Tian, T., 2015, Proceedings of the 2015 IEEE International Conference on Bioinformatics and Biomedicine. Huan, J. L., Miyano, S., Shehu, A., Hu, X., Ma, B., Rajasekaran, S., Gombar, V. K., Matthieu, I., Yoo, I., Zhou, J., Chen, B., Pai, V. & Pierce, B. (eds.). New York NY USA: IEEE, Institute of Electrical and Electronics Engineers, p. 653-656 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Calibrating and pricing with a stochastic-local volatility model

Tian, Y., Zhu, Z., Lee, G. M., Klebaner, F. C. & Hamza, K., 2015, In : Journal of Derivatives. 22, 3, p. 21-39 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Escape from the boundary in Markov population processes

Barbour, A., Hamza, K., Kaspi, H. & Klebaner, F. C., 2015, In : Advances in Applied Probability. 47, 4, p. 1190-1211 22 p.

Research output: Contribution to journalArticleResearchpeer-review

Large deviations for processes on half-line

Klebaner, F. C., Logachov, A. V. & Mogulskii, A. A., 2015, In : Electronic Communications in Probability. 20, 14 p., 75.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

Mimicking self-similar processes

Fan, J. Y., Hamza, K. & Klebaner, F. C., 2015, In : Bernoulli. 21, 3, p. 1341-1360 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Option Pricing for Symmetric Lévy Returns with Applications

Hamza, K., Klebaner, F. C., Landsman, Z. & Tan, Y. O., Mar 2015, In : Asia-Pacific Financial Markets. 22, 1, p. 27-52 26 p.

Research output: Contribution to journalArticleResearchpeer-review

2014

A mathematical model for Eph/ephrin-directed segregation of intermingled cells

Aharon, R., Janes, P. W., Burgess, A., Hamza, K., Klebaner, F. C. & Lackmann, M., 2014, In : PLoS ONE. 9, 12, 19 p., e111803.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

A new approach for estimating the progression of pancreatic cancer

Sun, S., Klebaner, F. C. & Tian, T., 2014, 8th International Conference on Systems Biology (ISB). Chen, L., Zhang, X-S., Wu, L-Y. & Wang, Y. (eds.). New Jersey: IEEE, Institute of Electrical and Electronics Engineers, p. 118 - 123 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

A new mathematical model for inbreeding depression in large populations

Sun, S., Klebaner, F. C. & Tian, T., 2014, Bioinformatics Research and Applications. Basu, M., Pan, Y. & Wang, J. (eds.). Switzerland: Springer, Vol. 8492. p. 310 - 321 12 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

A new model of time scheme for progression of colorectal cancer

Sun, S., Klebaner, F. C. & Tian, T., 2014, In : BMC Systems Biology. 8, 3, p. 1 - 8 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access

How did we get here?

Hamza, K. & Klebaner, F. C., 1 Dec 2014, In : Journal of Applied Probability. 51A, p. 63-72 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Pricing window barrier options with a hybrid stochastic-local volatility model

Tian, Y., Zhu, Z., Lee, G. M., Lo, T., Klebaner, F. C. & Hamza, K., 2014, Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr). Serguieva, A., Maringer, D., Palade, V. & Almeida, R. J. (eds.). USA: IEEE, Institute of Electrical and Electronics Engineers, p. 370 - 377 8 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Volatility in options formulae for general stochastic dynamics

Hamza, K., Klebaner, F. C. & Mah, O., 2014, In : Discrete and Continuous Dynamical Systems - Series B. 19, 2, p. 435 - 446 12 p.

Research output: Contribution to journalArticleResearchpeer-review

When a stochastic exponential is a true martingale. Extension of the Benes method

Klebaner, F. C. & Liptser, R., 2014, In : Theory of Probability and its Applications. 58, 1, p. 38 - 62 25 p.

Research output: Contribution to journalArticleResearchpeer-review

2013

A new mathematical model for progression of colorectal cancer

Sun, S., Klebaner, F. C. & Tian, T., 2013, Proceedings - 2013 IEEE International Conference on Bioinformatics and Biomedicine. Li, G., Hu, X., Kim, S., Ressom, H., Hughes, M., Liu, B., McLachlan, G., Liebman, M. & Sun, H. (eds.). Piscataway NJ USA: IEEE, Institute of Electrical and Electronics Engineers, p. 560 - 565 6 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperOtherpeer-review

Applications of stochastic processes in biology and medicine

Mode, C. J., Durrett, R., Klebaner, F. & Olofsson, P., 2013, In : International Journal of Stochastic Analysis. 2013, 2 p., 790625.

Research output: Contribution to journalEditorialOtherpeer-review

Dependence and interaction in branching processes

Jagers, P. & Klebaner, F. C., 2013, Prokhorov and Contemporary Probability Theory. Shiryaev, A. N., Varadhan, S. R. S. & Presman, E. L. (eds.). Heidelberg Germany: Springer, p. 325 - 333 9 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

The age structure of population-dependent general branching processes in environments with a high carrying capacity

Hamza, K., Jagers, P. & Klebaner, F. C., 2013, In : Steklov Institute of Mathematics. Proceedings. 282, 1, p. 90 - 105 16 p.

Research output: Contribution to journalArticleResearchpeer-review

2012

A hybrid stochastic volatility model incorporating local volatility

Tian, Y., Zhu, Z., Klebaner, F. C. & Hamza, K., 2012, Proceedings of the Fourth International Conference on Computational and Information Sciences. Shen, W., Wang, Y. & Geng, X. (eds.). New Jersey USA: IEEE, Institute of Electrical and Electronics Engineers, p. 333 - 336 4 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Compound Poisson approximation for triangular arrays with application to threshold estimation

Chigansky, P. & Klebaner, F. C., 2012, In : Electronic Communications in Probability. 17, p. 1 - 10 10 p.

Research output: Contribution to journalArticleResearchpeer-review

Introduction to Stochastic Calculus with Applications

Klebaner, F. C., 2012, 3 ed. UK: Imperial College Press. 438 p.

Research output: Book/ReportBookResearch

On the Markov property of some Brownian martingales

Fan, J. Y., Hamza, K. & Klebaner, F. C., 2012, In : Stochastic Processes and their Applications. 122, 10, p. 3506 - 3512 7 p.

Research output: Contribution to journalArticleResearchpeer-review

On the statistical independence of primes

Hamza, K. & Klebaner, F. C., 2012, In : The Mathematical Scientist. 37, 2, p. 97 - 105 9 p.

Research output: Contribution to journalArticleResearchpeer-review

Pricing barrier and American options under the SABR model on the graphics processing unit

Tian, Y., Zhu, Z., Klebaner, F. & Hamza, K., 2012, In : Concurrency and Computation-Practice & Experience. 24, 8, p. 867 - 879 13 p.

Research output: Contribution to journalArticleResearchpeer-review

The Euler-Maruyama approximation for the absorption time of the CEV diffusion

Chigansky, P. & Klebaner, F. C., 2012, In : Discrete and Continuous Dynamical Systems - Series B. 17, 5, p. 1455 - 1471 17 p.

Research output: Contribution to journalArticleResearchpeer-review

2011

Asymptotic analysis of ruin in the constant elasticity of variance model

Klebaner, F. & Liptser, R., 2011, In : Theory of Probability and its Applications. 55, 2, p. 291 - 297 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Population-size-dependent, age-structured branching processes linger around their carrying capacity

Jagers, P. & Klebaner, F., 2011, New frontiers in applied probability. Glynn, P., Mikosch, T. & Rolski, T. (eds.). Special Volume 48A ed. Sheffield UK: Applied Probability Trust, p. 249 - 260 12 p.

Research output: Chapter in Book/Report/Conference proceedingChapter (Book)Researchpeer-review

Stochasticity in the adaptive dynamics of evolution: the bare bones

Klebaner, F., Sagitov, S., Vatutin, V., Haccou, P. & Jagers, P., 2011, In : Journal of Biological Dynamics. 5, 2, p. 147 - 162 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Open Access

The Euler-Maruyama approximations for the CEV model

Abramov, V., Klebaner, F. & Liptser, R., 2011, In : Discrete and Continuous Dynamical Systems - Series B. 16, 1, p. 1 - 14 14 p.

Research output: Contribution to journalArticleResearchpeer-review

2010

Approximations in population-dependent branching processes

Klebaner, F. C., 2010, Lecture Notes in Statistics - Proceedings. Gonzalez, M. V., del Puerto, I. M., Martinez, R., Molina, M., Mota, M. & Ramos, A. (eds.). Germany: Springer-Verlag London Ltd., Vol. 197. p. 71 - 78 8 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Option pricing with the SABR model on the GPU

Tian, Y. O., Zhu, Z., Klebaner, F. & Hamza, K., 2010, Proceedings of the 3rd Workshop on High Performance Computational Finance. Dixon, M., Daly, D., Eleftheriou, M., Moreira, J. & Ryu, K. (eds.). Piscataway USA: IEEE, Institute of Electrical and Electronics Engineers, p. 1 - 8 8 p.

Research output: Chapter in Book/Report/Conference proceedingConference PaperResearchpeer-review

Solutions and simulations of some one-dimensional stochastic differential equations

Klebaner, F. C. & Azmy, E., 2010, In : Asia-Pacific Financial Markets. 17, p. 365 - 372 7 p.

Research output: Contribution to journalArticleResearchpeer-review

2009

Option pricing for log-symmetric distributions of returns

Klebaner, F. C. & Landsman, Z., 2009, In : Methodology and Computing in Applied Probability. 11, p. 339 - 357 18 p.

Research output: Contribution to journalArticleResearchpeer-review

2008

Distribution of the Brownian motion on its way to hitting zero

Klebaner, F. C. & Chigansky, P., 2008, In : Electronic Communications in Probability. 13, 1, p. 641 - 648 8 p.

Research output: Contribution to journalArticleResearchpeer-review

Large deviations analysis of extinction in branching models

Klebaner, F. C. & Liptser, R., 2008, In : Mathematical Population Studies. 15, 1, p. 55 - 69 15 p.

Research output: Contribution to journalArticleResearchpeer-review