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Research Output 1983 2019

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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
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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
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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
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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
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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 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
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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

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

2015

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
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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
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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

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

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

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

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

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

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

On the implicit Black-Scholes formula

Hamza, K. & Klebaner, F. C., 2008, In : Stochastics: An International Journal of Probability and Stochastic Processes. 80, 1, p. 97 - 102 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Prediction of missing observations by a control method

Abramov, V. & Klebaner, F. C., 2008, In : Advances and Applications in Statistics. 8, p. 109 - 129 21 p.

Research output: Contribution to journalArticleResearchpeer-review

2007

A family of Non-Gaussian Martingales with Gaussian marginals

Hamza, K. & Klebaner, F. C., 2007, In : Journal of Applied Mathematics and Stochastic Analysis. 2007, p. 1 - 19 19 p.

Research output: Contribution to journalArticleResearchpeer-review

Estimation and prediction of a non-constant volatility

Abramov, V. & Klebaner, F. C., 2007, In : Asia-Pacific Financial Markets. 14, 1, p. 1 - 23 23 p.

Research output: Contribution to journalArticleResearchpeer-review

FCLT and MDP for stochastic Lotka-Volterra model

Klebaner, F. C., Lim, A. K. K. & Liptser, R., 2007, In : Acta Applicandae Mathematicae. 97, 1-Mar, p. 53 - 68 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Markovian paths to extinction

Jagers, P., Klebaner, F. C. & Sagitov, D., 2007, In : Advances in Applied Probability. 39, 2, p. 569 - 587 19 p.

Research output: Contribution to journalArticleResearchpeer-review

On one inverse problem in financial mathematics

Hamza, K. & Klebaner, F. C., 2007, In : Journal of Uncertain Systems. 1, 4, p. 246 - 255 10 p.

Research output: Contribution to journalArticleResearchpeer-review

On the path to extinction

Jagers, P., Klebaner, F. C. & Sagitov, D., 2007, In : Proceedings of the National Academy of Sciences. 104, 15, p. 6107 - 6111 5 p.

Research output: Contribution to journalArticleResearchpeer-review

Transformations of Galton-Watson processes and linear fractional reproduction

Klebaner, F. C., Rosler, U. & Sagitov, S., 2007, In : Advances in Applied Probability. 39, 4, p. 1036 - 1053 18 p.

Research output: Contribution to journalArticleResearchpeer-review

2006

Likely path to extinction in simple branching models with large initial population

Klebaner, F. C. & Liptser, R. S., 2006, In : Journal of Applied Mathematics and Stochastic Analysis. 2006, p. 1 - 23 23 p.

Research output: Contribution to journalArticleResearchpeer-review

On estimation of volatility surface and prediction of future spot volatility

Klebaner, F. C., Le, T. T. N. & Liptser, R. S., 2006, In : Applied Mathematical Finance. 13, 3, p. 245 - 263 19 p.

Research output: Contribution to journalArticleResearchpeer-review

On nonexistence of non-constant volatility in the Black-Scholes formula

Hamza, K. & Klebaner, F. C., 2006, In : Discrete and Continuous Dynamical Systems - Series B. 6, 4, p. 829 - 834 6 p.

Research output: Contribution to journalArticleResearchpeer-review

On solutions of first order stochastic partial differential equations

Hamza, K. & Klebaner, F. C., 2006, In : Far East Journal of Theoretical Statistics. 20, 1, p. 1 - 13 13 p.

Research output: Contribution to journalArticleResearchpeer-review

Random volatility and option prices with the generalized Student-t distribution

Fielding, M., Klebaner, F. C. & Landsman, Z., 2006, In : Advances and Applications in Statistics. 6, 1, p. 111 - 120 10 p.

Research output: Contribution to journalArticleResearchpeer-review

2005

The equivalent martingale measure conditions in a general model for interest rates

Hamza, K., Jacka, S. D. & Klebaner, F. C., 2005, In : Advances in Applied Probability. 37, 2, p. 415 - 434 20 p.

Research output: Contribution to journalArticleResearchpeer-review

Tracking volatility

Goldentyer, L., Klebaner, F. C. & Liptser, R. S., 2005, In : Problems of Information Transmission. 41, 3, p. 212 - 229 18 p.

Research output: Contribution to journalArticleResearchpeer-review