19952020

Research output per year

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Research Output

2020

Convergence of the age structure of general schemes of population processes

Fan, J. Y., Hamza, K., Jagers, P. & Klebaner, F., 1 Jan 2020, In : Bernoulli. 26, 2, p. 893-926 34 p.

Research output: Contribution to journalArticleResearchpeer-review

Inspiratory vocal cord closure in chronic obstructive pulmonary disease

Leong, P., Ruane, L. E., Phyland, D., Koh, J., MacDonald, M. I., Baxter, M., Lau, K. K., Hamza, K. & Bardin, P. G., 1 Apr 2020, In : European Respiratory Journal. 55, 4, 3 p., 1901466.

Research output: Contribution to journalLetterOtherpeer-review

2019

A 60-Myr record of continental back-arc differentiation through cyclic melting

Wolfram, L. C., Weinberg, R. F., Nebel, O., Hamza, K., Hasalová, P., Míková, J. & Becchio, R., 1 Jan 2019, In : Nature Geoscience. 12, p. 215-219 5 p.

Research output: Contribution to journalArticleResearchpeer-review

9 Citations (Scopus)

A deterministic walk on the randomly oriented Manhattan lattice

Collevecchio, A., Hamza, K. & Tournier, L., 1 Jan 2019, In : Electronic Journal of Probability. 24, 20 p., 137.

Research output: Contribution to journalArticleResearchpeer-review

Open Access
File

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

2 Citations (Scopus)

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

Invariance principle for biased bootstrap random walks

Collevecchio, A., Hamza, K. & Liu, Y., Mar 2019, In : Stochastic Processes and their Applications. 129, 3, p. 860-877 18 p.

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Low and High Blood Eosinophil Counts as Biomarkers in Hospitalized Acute Exacerbations of COPD

MacDonald, M. I., Osadnik, C. R., Bulfin, L., Hamza, K., Leong, P., Wong, A., King, P. T. & Bardin, P. G., 1 Jul 2019, In : Chest. 156, 1, p. 92-100 9 p.

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)

Multidisciplinary team clinic for vocal cord dysfunction directs therapy and significantly reduces healthcare utilization

Baxter, M., Ruane, L., Phyland, D., Leahy, E., Heke, E., Lau, K. K., Low, K., Hamza, K., MacDonald, M. & Bardin, P. G., 1 Aug 2019, In : Respirology. 24, 8, p. 758-764 7 p.

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (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

1 Citation (Scopus)

Vocal cord dysfunction in patients hospitalized with symptoms of acute asthma exacerbation

Daley, C. P., Ruane, L. E., Leong, P., Lau, K. K., Low, K., Hamza, K., Finlay, P., MacDonald, M., Baxter, M. & Bardin, P. G., 15 Sep 2019, In : American Journal of Respiratory and Critical Care Medicine. 200, 6, p. 782-785 4 p.

Research output: Contribution to journalLetterOtherpeer-review

2 Citations (Scopus)
2018

Dysfunctional breathing is more frequent in chronic obstructive pulmonary disease than in asthma and in health

Law, N., Ruane, L. E., Low, K., Hamza, K. & Bardin, P. G., 1 Jan 2018, In : Respiratory Physiology and Neurobiology. 247, p. 20-23 4 p.

Research output: Contribution to journalArticleResearchpeer-review

5 Citations (Scopus)

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
1 Citation (Scopus)
2017

Abnormal vocal cord movement in patients with and without airway obstruction and asthma symptoms

Low, K., Ruane, L., Uddin, N., Finlay, P., Lau, K. K., Hamza, K., Holmes, P. W., Hamilton, G. & Bardin, P. G., 1 Feb 2017, In : Clinical & Experimental Allergy. 47, 2, p. 200-207 8 p.

Research output: Contribution to journalArticleOtherpeer-review

17 Citations (Scopus)
2016

Bootstrap random walks

Collevecchio, A., Hamza, K. & Shi, M., 1 Jun 2016, In : Stochastic Processes and their Applications. 126, 6, p. 1744-1760 17 p.

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)

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

6 Citations (Scopus)

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

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

8 Citations (Scopus)

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

7 Citations (Scopus)

Evaluation of the role of lung volume and airway size and shape in supine-predominant obstructive sleep apnoea patients

Joosten, S. A., Sands, S., Edwards, B. A., Hamza, K., Turton, A. R., Lau, K. K-P., Crossett, M., Berger, P. J. & Hamilton, G. S., 2015, In : Respirology. 20, 5, p. 819 - 827 9 p.

Research output: Contribution to journalArticleResearchpeer-review

14 Citations (Scopus)

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

5 Citations (Scopus)

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

1 Citation (Scopus)
2014

Abnormal vocal cord movement treated with botulinum toxin in patients with asthma resistant to optimised management

Baxter, M., Uddin, A. K. M. N., Raghav, S., Leong, P., Low, K., Hamza, K., Holmes, P., Hamilton, G. S., Thyagarajan, D., Lau, K. K-P. & Bardin, P. G., 2014, In : Respirology. 19, 4, p. 531 - 537 7 p.

Research output: Contribution to journalArticleResearchpeer-review

17 Citations (Scopus)

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
1 Citation (Scopus)

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

Lung-volume controlled computerised tomography in real-life acute severe asthma

Li, X., Naidoo, P., Guy, P., Finlay, P., Foo, S-W., Hamza, K. & Bardin, P. G., 2014, In : Journal of Asthma. 51, 3, p. 282 - 287 6 p.

Research output: Contribution to journalArticleResearchpeer-review

Night-to-night repeatability of supine-related obstructive sleep apnea

Joosten, S. A., O'Donoghue, F., Rochford, P. D., Barnes, M., Hamza, K., Churchward, T., Berger, P. J. & Hamilton, G. S., 2014, In : Annals of the American Thoracic Society. 11, 5, p. 761 - 769 9 p.

Research output: Contribution to journalArticleResearchpeer-review

18 Citations (Scopus)

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

2013

Exacerbation phenotyping in chronic obstructive pulmonary disease

MacDonald, M., Korman, T., King, P. T., Hamza, K. & Bardin, P. G., 2013, In : Respirology. 18, 8, p. 1280 - 1281 2 p.

Research output: Contribution to journalLetterOther

16 Citations (Scopus)

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 : Proceedings of the Steklov Institute of Mathematics. 282, 1, p. 90 - 105 16 p.

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)
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

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

1 Citation (Scopus)

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

Phenotypes of patients with mild to moderate obstructive sleep apnoea as confirmed by cluster analysis

Joosten, S., Hamza, K., Sands, S., Turton, A., Berger, P. & Hamilton, G., 2012, In : Respirology. 17, 1, p. 99 - 107 9 p.

Research output: Contribution to journalArticleResearchpeer-review

57 Citations (Scopus)

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

9 Citations (Scopus)

The primordial follicle reserve is not renewed after chemical or gamma-irradiation mediated depletion

Kerr, J. B., Brogan, L., Myers, M., Hutt, K. J., Mladenovska, T., Ricardo, S. D., Hamza, K., Scott, C. L., Strasser, A. & Findlay, J. K., 2012, In : Reproduction. 143, 4, p. 469 - 476 8 p.

Research output: Contribution to journalArticleResearchpeer-review

51 Citations (Scopus)
2011

Abnormal vocal cord function in difficult-to-treat asthma

Low, K., Lau, K., Holmes, P., Crossett, M., Vallance, N., Phyland, D., Hamza, K., Hamilton, G. & Bardin, P., 2011, In : American Journal of Respiratory and Critical Care Medicine. 184, 1, p. 50 - 56 7 p.

Research output: Contribution to journalArticleResearchpeer-review

79 Citations (Scopus)

The mixing advantage for bounded random variables

Hamza, K. & Sudbury, A., 2011, In : Statistics and Probability Letters. 81, 8, p. 1190 - 1195 6 p.

Research output: Contribution to journalArticleResearchpeer-review

2010

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

7 Citations (Scopus)
2009

An exact test for hazard similarity

Hamza, K., 2009, In : Australian & New Zealand Journal of Statistics. 51, 2, p. 143 - 159 17 p.

Research output: Contribution to journalArticleResearchpeer-review

On the identification of a supercritical branching process [Sur l'identification d'un processus de branchement surcritique]

Hamza, K. & Maaouia, F., 2009, In : Comptes Rendus Mathematique. 347, 5-6, p. 321 - 325 5 p.

Research output: Contribution to journalArticleResearchpeer-review

The mixing advantage is less than 2

Hamza, K., Jagers, P., Sudbury, A. W. & Tokarev, D. V., 2009, In : Extremes. 12, p. 19 - 31 13 p.

Research output: Contribution to journalArticleResearchpeer-review

2 Citations (Scopus)
2008

A new mean with inequalities

Hamza, K., 2008, In : Bulletin of the Australian Mathematical Society. 77, 3, p. 365 - 371 7 p.

Research output: Contribution to journalArticleResearchpeer-review

Groundwater-climate relationships, Ranger uranium mine, Australia: 1. Time series statistical analyses

Kabir, M., Hamza, K., Mudd, G. M. & Ladson, A. R., 1 Jan 2008, Uranium, Mining and Hydrogeology: 5th International Conference on Uranium Mining and Hydrogeology, UMH 2008; Freiberg; Germany; 1 September 2008 through 1 September 2008; Code 103342. p. 343-352 10 p.

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

1 Citation (Scopus)

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

1 Citation (Scopus)
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

16 Citations (Scopus)

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

Use of climate scenarios to aid in decision analysis for interannual water supply planning

Risbey, J., Hamza, K. & Marsden, J., 2007, In : Water Resources Management. 21, 6, p. 919 - 932 14 p.

Research output: Contribution to journalArticleResearchpeer-review

12 Citations (Scopus)
2006

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

4 Citations (Scopus)