19952020

Research output per year

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Research Output

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Conference Paper
2016

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

2014

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

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

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)
2008

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)