Assoc Prof Kais Hamza - Researcher Profile

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

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 BV, 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.

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.

Joosten, S., Hamza, K., Sands, S., Turton, A., Berger, P., Hamilton, G., 2011, Phenotypes of patients with mild to moderate obstructive sleep apnoea as confirmed by cluster analysis, Respirology [E], vol 17, issue 1, Wiley-Blackwell Publishing Asia, Australia, pp. 99-107.

Tian, Y., Zhu, Z., Klebaner, F., Hamza, K., 2011, Pricing barrier and American options under the SABR model on the GPU, Concurrency And Computation-Practice & Experience [P], vol e, John Wiley & Sons Ltd., UK, pp. 1-14.

Hamza, K., Sudbury, A., 2011, The mixing advantage for bounded random variables, Statistics and Probability Letters [P], vol 81, issue 8, Elsevier BV * North-Holland, 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 Publishing, 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 Masson, 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., 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, 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, IEEE-Institute of Electrical Electronic Engineers Inc, Piscataway USA, pp. 1-8.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

A Bayesian Approach to Markov chain Monte Carlo and its Applications.

Supervisors:

Keith, J (Main), Hamza, K (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Counterparty credit exposure.

Supervisors:

Hamza, K (Joint-co), Klebaner, F (Joint).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Martingales with given marginals.

Supervisors:

Hamza, K (Joint-co), Klebaner, F (Joint).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Optimization of controlled markov chains; Application to dam systems.

Supervisors:

Miller, B (Main), Hamza, K (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Option pricing using Monte Carlo simulation and other methods.

Supervisors:

Klebaner, F (Main), Hamza, K (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Option pricing with a natural equivalent martingale measure for log-symmetric Levy price processes.

Supervisors:

Hamza, K (Joint-co), Klebaner, F (Joint).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Stochastic Orders.

Supervisors:

Keith, J (Main), Hamza, K (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Stochastic model for cell migration and segregation with application to cancer research.

Supervisors:

Hamza, K (Joint), Klebaner, F (Joint-co).

Program of Study:

(MASTER'S BY RESEARCH).

Thesis Title:

Theory and application of multi-factor models in commodities.

Supervisors:

Hamza, K (Joint-co), Klebaner, F (Joint).

Completed Supervision

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:

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:

Hamza, K (Joint), Klebaner, F (Joint-Co).

Student:

Mah, O.

Program of Study:

Volatility in the Black-Scholes and other formulas. (PHD) 2011.

Supervisors:

Hamza, K (Joint), Klebaner, F (Joint-Co).

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:

Tokarev, D.

Program of Study:

Galton-Watson processess and extinction in population systems. (PHD) 2007.

Supervisors:

Klebaner, F (Main), Hamza, K (Associate).