Assoc Professor Kais Hamza - Researcher Profile

Kais Hamza

Address

School of Mathematical Sciences
Building 28, Clayton

Contact Details

Tel: +61 3 990 54453

Email: Kais.Hamza@monash.edu


Biography

Kais works in the School of Mathematical Sciences at Monash University as a Senior Lecturer

Kais's research areas of interest are:

General theory of stochastic processes. Representation properties for martingales. Markov jump processes. Applications of stochastic processes to modelling of financial markets

Keywords

Stochastic Processes

Qualifications

PROBABILITY
Institution: Paris 6
Year awarded: 1988

Publications

Journal Articles

Hamza, K., Jagers, P., Klebaner, F.C., 2016, On the establishment, persistence, and inevitable extinction of populations, Journal of Mathematical Biology [P], vol 72, issue 4, Springer, Heidelberg Germany, pp. 797-820.

Tian, Y., Zhu, Z., Lee, G.M., Klebaner, F.C., Hamza, K., 2015, Calibrating and pricing with a stochastic-local volatility model, Journal Of Derivatives [P], vol 22, issue 3, Institutional Investor Inc, New York NY USA, pp. 21-39.

Barbour, A., Hamza, K., Kaspi, H., Klebaner, F.C., 2015, Escape from the boundary in Markov population processes, Advances In Applied Probability [P], vol 47, issue 4, Applied Probability Trust, Sheffield South Yorkshire UK, pp. 1190-1211.

Joosten, S.A., Sands, S., Edwards, B.A., Hamza, K., Turton, A.R., Lau, K.K., Crossett, M., Berger, P.J., Hamilton, G.S., 2015, Evaluation of the role of lung volume and airway size and shape in supine-predominant obstructive sleep apnoea patients, Respirology [P], vol 20, issue 5, Wile-Blackwell Publishing Asia, Australia, pp. 819-827.

Fan, J.Y., Hamza, K., Klebaner, F.C., 2015, Mimicking self-similar processes, Bernoulli [P], vol 21, issue 3, International Statistical Institute, The Hague Netherlands, pp. 1341-1360.

Aharon, R., Janes, P.W., Burgess, A., Hamza, K., Klebaner, F.C., Lackmann, M., 2014, A mathematical model for eph/ephrin-directed segregation of intermingled cells, PLoS ONE [E], vol 9, issue 12, Public Library of Science, USA, pp. 1-19.

Baxter, M., Uddin, A.N., Raghav, S., Leong, P., Low, K., Hamza, K., Holmes, P., Hamilton, G.S., Thyagarajan, D., Lau, K.K., Bardin, P.G., 2014, Abnormal vocal cord movement treated with botulinum toxin in patients with asthma resistant to optimised management, Respirology [P], vol 19, issue 4, Wiley-Blackwell, Australia, pp. 531-537.

Hamza, K., Klebaner, F.C., 2014, How did we get here?, Journal of Applied Probability [P], vol 51A, Applied Probability Trust, UK, pp. 63-72.

Li, X., Naidoo, P., Guy, P., Finlay, P., Foo, S., Hamza, K., Bardin, P.G., 2014, Lung-volume controlled computerised tomography in real-life acute severe asthma, Journal Of Asthma [P], vol 51, issue 3, Informa Healthcare, United States, pp. 282-287.

Joosten, S.A., O'Donoghue, F., Rochford, P.D., Barnes, M., Hamza, K., Churchward, T., Berger, P.J., Hamilton, G.S., 2014, Night-to-night repeatability of supine-related obstructive sleep apnea, Annals of the American Thoracic Society [P], vol 11, issue 5, American Thoracic Society, United States, pp. 761-769.

Hamza, K., Klebaner, F.C., Landsman, Z., Tan, Y.O., 2014, Option pricing for symmetric Levy returns with applications, Asia-Pacific Financial Markets [P], vol 22, issue 1, Springer New York LLC, New York USA, pp. 27-52.

Hamza, K., Klebaner, F.C., Mah, O., 2014, Volatility in options formulae for general stochastic dynamics, Discrete and Continuous Dynamical Systems - Series B [P], vol 19, issue 2, American Institute of Mathematical Sciences, Springfield USA, pp. 435-446.

MacDonald, M., Korman, T., King, P.T., Hamza, K., Bardin, P.G., 2013, Exacerbation phenotyping in chronic obstructive pulmonary disease, Respirology [P], vol 18, issue 8, Wiley-Blackwell Publishing Asia, Richmond, VIC 3121 Australia, pp. 1280-1281.

Hamza, K., Jagers, P., Klebaner, F.C., 2013, The age structure of population-dependent general branching processes in environments with a high carrying capacity, Steklov Institute of Mathematics. Proceedings [P], vol 282, issue 1, Springer, New York USA, pp. 90-105.

Fan, J.Y., Hamza, K., Klebaner, F.C., 2012, On the Markov property of some Brownian martingales, Stochastic Processes and their Applications [P], vol 122, issue 10, Elsevier, Amesterdam Netherlands, pp. 3506-3512.

Hamza, K., Klebaner, F.C., 2012, On the statistical independence of primes, The Mathematical Scientist [P], vol 37, issue 2, Applied Probability Trust, Sheffield UK, pp. 97-105.

Joosten, S., Hamza, K., Sands, S., Turton, A., Berger, P., Hamilton, G., 2012, Phenotypes of patients with mild to moderate obstructive sleep apnoea as confirmed by cluster analysis, Respirology [E], vol 17, issue 1, Wiley-Blackwell, Australia, pp. 99-107.

Tian, Y., Zhu, Z., Klebaner, F., Hamza, K., 2012, Pricing barrier and American options under the SABR model on the graphics processing unit, Concurrency And Computation-Practice & Experience [P], vol 24, issue 8, John Wiley & Sons, UK, pp. 867-879.

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, The primordial follicle reserve is not renewed after chemical or gamma-irradiation mediated depletion, Reproduction [P], vol 143, issue 4, BioScientifica Ltd, UK, pp. 469-476.

Low, K., Lau, K., Holmes, P., Crossett, M., Vallance, N., Phyland, D., Hamza, K., Hamilton, G., Bardin, P., 2011, Abnormal vocal cord function in difficult-to-treat asthma, American Journal Of Respiratory And Critical Care Medicine [P], vol 184, issue 1, American Thoracic Society, United States, pp. 50-56.

Hamza, K., Sudbury, A., 2011, The mixing advantage for bounded random variables, Statistics and Probability Letters [P], vol 81, issue 8, Elsevier, Netherlands, pp. 1190-1195.

Hamza, K., 2009, An exact test for hazard similarity, Australian & New Zealand Journal Of Statistics [P], vol 51, issue 2, Wiley-Blackwell, Palmerston North New Zealand, pp. 143-159.

Hamza, K., Maaouia, F., 2009, On the identification of a supercritical branching process [Sur l'identification d'un processus de branchement surcritique], Comptes Rendus Mathematique [P], vol 347, issue 5-6, Elsevier, France, pp. 321-325.

Hamza, K., Jagers, P., Sudbury, A.W., Tokarev, D.V., 2009, The mixing advantage is less than 2, Extremes [P], vol 12, Springer, New York USA, pp. 19-31.

Hamza, K., 2008, A new mean with inequalities, The Bulletin of the Australian Mathematical Society, vol 77, issue 3, Cambridge University Press, UK, pp. 365-371.

Hamza, K., Klebaner, F.C., 2008, On the implicit Black-Scholes formula, Stochastics: An International Journal of Probability and Stochastic Processes, vol 80, issue 1, Taylor & Francis, London UK, pp. 97-102.

Hamza, K., Klebaner, F.C., 2007, A family of Non-Gaussian Martingales with Gaussian marginals, Journal of Applied Mathematics and Stochastic Analysis, vol 2007, Hindawi Publishing Corporation, New York USA, pp. 1-19.

Hamza, K., Klebaner, F.C., 2007, On one inverse problem in financial mathematics, Journal of Uncertain Systems, vol 1, issue 4, World Academic Union, UK, pp. 246-255.

Risbey, J., Hamza, K., Marsden, J., 2007, Use of climate scenarios to aid in decision analysis for interannual water supply planning, Water Resources Management, vol 21, issue 6, Springer, Dordrecht Netherlands, pp. 919-932.

Hamza, K., Klebaner, F.C., 2006, On nonexistence of non-constant volatility in the Black-Scholes formula, Discrete and Continuous Dynamical Systems - Series B, vol 6, issue 4, American Institute of Mathematical Sciences, Springfield USA, pp. 829-834.

Hamza, K., Klebaner, F.C., 2006, On solutions of first order stochastic partial differential equations, Far East Journal of Theoretical Statistics, vol 20, issue 1, Pushpa Publishing House, Allahabad India, pp. 1-13.

Hamza, K., Jacka, S.D., Klebaner, F.C., 2005, The equivalent martingale measure conditions in a general model for interest rates, Advances in Applied Probability, vol 37, issue 2, Applied Probability Trust, Sheffield UK, pp. 415-434.

Grunwald, G.K., Hamza, K., Hyndman, R.J., 1997, Some Properties and Generalizations of Non-negative Bayesian Time Series Models, Journal of the Royal Statististical Society Series B, vol 59, Royal Statistical Society, London UK, pp. 615-626.

Conference Proceedings

Tian, Y., Zhu, Z., Lee, G.M., Lo, T., Klebaner, F.C., Hamza, K., 2014, Pricing window barrier options with a hybrid stochastic-local volatility model, Proceedings of the 2104 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr), 27 March 2014 to 28 March 2014, IEEE, USA, pp. 370-377.

Tian, Y., Zhu, Z., Klebaner, F.C., Hamza, K., 2012, A hybrid stochastic volatility model incorporating local volatility, Proceedings of the Fourth International Conference on Computational and Information Sciences, 17 August 2012 to 19 August 2012, IEEE, Institute of Electrical and Electronics Engineers, New Jersey USA, pp. 333-336.

Tian, Y., Zhu, Z., Klebaner, F., Hamza, K., 2010, Option pricing with the SABR model on the GPU, Proceedings of the 3rd Workshop on High Performance Computational Finance, 13 November 2010 to 19 November 2010, IEEE, Institute of Electrical and Electronics Engineers, Piscataway USA, pp. 1-8.

Postgraduate Research Supervisions

Current Supervision

Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Approximations in Stochastic Dynamics.
Supervisors:
Klebaner, F (Main), Hamza, K (Associate).
Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Effective methods in option pricing.
Supervisors:
Tian, T (Main), Hamza, K (Associate).
Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Implementation of LIBOR Market Models with Stochastic Volatility.
Supervisors:
Klebaner, F (Main), Hamza, K (Associate).
Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Inverse problem in options formulae for general stochastic dynamics with jumps..
Supervisors:
Hamza, K (Main), Klebaner, F (Associate), Fan, J (Associate).
Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Random walks with interacting coordinates.
Supervisors:
Hamza, K (Main), Klebaner, F (Associate), Collevecchio, A (Associate).
Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
Stochastic-Local Volatility Models.
Supervisors:
Klebaner, F (Main), Hamza, K (Associate).

Completed Supervision

Student:
Aharon, R.
Program of Study:
A stochastic differential model for cell migration and mutual cell-cell interactions. (PHD) 2015.
Supervisors:
Klebaner, F (Joint-Co), Hamza, K (Joint).
Student:
Chen, Q.
Program of Study:
Stochastic simulation and evaluation of financial market models. 2012.
Supervisors:
Hamza, K (Joint-Co), Klebaner, F (Joint).
Student:
Do, B.
Program of Study:
State space models: empirical methods and applications in finance. (PHD) 2007.
Supervisors:
Faff, R (Main), Hamza, K (Associate).
Student:
Fan, J.
Program of Study:
Mimicking self-similar Markov martingales and extensions. (PHD) 2014.
Supervisors:
Hamza, K (Joint-Co), Klebaner, F (Joint).
Student:
Hui, S.
Program of Study:
Credit risk valuation - an investigation of the intensity-based approach. (PHD) 2004.
Supervisors:
Peirson, C (Main), Gay, R (Associate), Hamza, K (Associate).
Student:
Le, T.
Program of Study:
STOCHASTIC VOLATILITY MODELS. (PHD) 2005.
Supervisors:
Klebaner, F (Main), Hamza, K (Associate).
Student:
Lim, A.
Program of Study:
Some applications of semimartingale theory to limit theorems. (PHD) 2009.
Supervisors:
Klebaner, F (Joint-Co), Hamza, K (Joint).
Student:
Mah, O.
Program of Study:
Volatility in the Black-Scholes and other formulas. (PHD) 2011.
Supervisors:
Klebaner, F (Joint-Co), Hamza, K (Joint).
Student:
Mcinnes, D.
Program of Study:
Optimization of controlled markov chains with application to dam management. (PHD) 2014.
Supervisors:
Miller, B (Main), Hamza, K (Associate).
Student:
Tan, Y.
Program of Study:
"Equivalence of stochastic mechanics with Bohmian mechanics". (Masters) 2004.
Supervisors:
Lan, B (Joint-Co), Hamza, K (Joint-Co).
Student:
Tan, Y.
Program of Study:
Option pricing with a natural equivalent martingale measure for log-symmetric Levy price processes. (PHD) 2013.
Supervisors:
Hamza, K (Joint-Co), Klebaner, F (Joint).
Student:
Tian, Y.
Program of Study:
The Hybrid Stochastic-Local Volatility model with applications in pricing FX options. (PHD) 2013.
Supervisors:
Klebaner, F (Main), Hamza, K (Associate).
Student:
Tokarev, D.
Program of Study:
Galton-Watson processess and extinction in population systems. (PHD) 2007.
Supervisors:
Klebaner, F (Main), Hamza, K (Associate).