Prof Fima Klebaner - Researcher Profile

Biography

Fima works in the School of Mathematical Sciences at Monash University as a Professor

 

 

Fima’s research areas of interest are:

 

• Stochastic Processes, Applied Probability, Stochastic Calculus, Financial Mathematics, Random Perturbations of Dynamical Systems.
  Mathematical Finance

Qualifications

DOCTOR OF PHILOSOPHY

Institution: University of Melbourne

Year awarded: 2005

Publications

Books

Klebaner, F.C., 2012, Introduction to Stochastic Calculus with Applications, Imperial College Press, UK.

Klebaner, F.C., 2005, Introduction to Stochastic Calculus with Applications, Imperial College Press, London UK.

Book Chapters

Jagers, P., Klebaner, F., 2011, Population-size-dependent, age-structured branching processes linger around their carrying capacity, in New frontiers in applied probability, eds P Glynn, T. Mikosch and T. Rolski, Applied Probability Trust, Sheffield UK, pp. 249-260.

Klebaner, F.C., 2005, Discrete Time Dynamical Systems as Population Models, in Branching processes: Variation, Growth, and Extinction of Populations, eds P. Haccou, P. Jagers, V.A. Vatutin, Cambridge University Press, Cambridge UK, pp. 88-94.

Klebaner, F.C., 2005, Population Size Dependent Processes, in Branching processes: Variation, Growth, and Extinction of Populations, eds P. Haccou, P. Jagers and V.A. Vatutin, Cambridge University Press, Cambridge UK, pp. 133-135.

Klebaner, F.C., 2005, Slowly Growing Populations, in Branching processes: Variation, Growth, and Extinction of Populations, eds P. Haccou, P. Jagers and V.A. Vatutin, Cambridge University Press, Cambridge UK, pp. 174-176.

Journal Articles

Chigansky, P., Klebaner, F.C., 2012, Compound Poisson approximation for triangular arrays with application to threshold estimation, Electronic Communications in Probability [P], vol 17, University of Washington, Washington USA, pp. 1-10.

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.

Chigansky, P., Klebaner, F.C., 2012, The Euler-Maruyama approximation for the absorption time of the CEV diffusion, Discrete and Continuous Dynamical Systems - Series B [P], vol 17, issue 5, American Institute of Mathematical Sciences, Springfirld MO USA, pp. 1455-1471.

Klebaner, F., Liptser, R., 2011, Asymptotic analysis of ruin in the constant elasticity of variance model, Theory Of Probability And Its Applications [P], vol 55, issue 2, Society for Industrial and Applied Mathematics, USA, pp. 291-297.

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.

Klebaner, F., Sagitov, S., Vatutin, V., Haccou, P., Jagers, P., 2011, Stochasticity in the adaptive dynamics of evolution: the bare bones, Journal of Biological Dynamics [P], vol 5, issue 2, Taylor & Francis Ltd., UK, pp. 147-162.

Abramov, V., Klebaner, F., Liptser, R., 2011, The Euler-Maruyama approximations for the CEV model, Discrete and Continuous Dynamical Systems - Series B [P], vol 16, issue 1, American Institute of Mathematical Sciences, USA, pp. 1-14.

Klebaner, F.C., Azmy, E., 2010, Solutions and simulations of some one-dimensional stochastic differential equations, Asia-Pacific Financial Markets [P], vol 17, Springer Netherlands, Netherlands, pp. 365-372.

Klebaner, F.C., Landsman, Z., 2009, Option pricing for log-symmetric distributions of returns, Methodology and Computing in Applied Probability, vol 11, Springer Science, Netherlands, pp. 339-357.

Klebaner, F.C., Chigansky, P., 2008, Distribution of the Brownian motion on its way to hitting zero, Electronic Communications in Probability, vol 13, issue 1, Institute of Mathematical Statistics, USA, pp. 641-648.

Klebaner, F.C., Liptser, R., 2008, Large deviations analysis of extinction in branching models, Mathematical Population Studies, vol 15, issue 1, Taylor & Francis Inc, Philadelphia USA, pp. 55-69.

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.

Abramov, V., Klebaner, F.C., 2008, Prediction of missing observations by a control method, Advances and Applications in Statistics, vol 8, Pushpa Publishing House, India, pp. 109-129.

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.

Abramov, V., Klebaner, F.C., 2007, Estimation and prediction of a non-constant volatility, Asia-Pacific Financial Markets, vol 14, issue 1, Springer Netherlands, Netherlands, pp. 1-23.

Klebaner, F.C., Lim, A.K.K., Liptser, R., 2007, FCLT and MDP for stochastic Lotka-Volterra model, Acta Applicandae Mathematicae, vol 97, issue 1-Mar, Springer, Dordrecht Netherlands, pp. 53-68.

Jagers, P., Klebaner, F.C., Sagitov, D., 2007, Markovian paths to extinction, Advances in Probability, vol 39, issue 2, Applied Probability Trust, Sheffield UK, pp. 569-587.

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.

Jagers, P., Klebaner, F.C., Sagitov, D., 2007, On the path to extinction, Proceedings of the National Academy of Sciences, vol 104, issue 15, National Academy of Sciences, Stanford USA, pp. 6107-6111.

Klebaner, F.C., Rosler, U., Sagitov, S., 2007, Transformations of Galton-Watson processes and linear fractional reproduction, Advances in Applied Probability, vol 39, issue 4, Applied Probability Trust, UK, pp. 1036-1053.

Klebaner, F.C., Liptser, R.S., 2006, Likely path to extinction in simple branching models with large initial population, Journal of Applied Mathematics and Stochastic Analysis, vol 2006, Hindawi Publishing Corporation, New York NY USA, pp. 1-23.

Klebaner, F.C., Le, T.T.N., Liptser, R.S., 2006, On estimation of volatility surface and prediction of future spot volatility, Applied Mathematical Finance, vol 13, issue 3, Routledge Taylor & Francis Group, Oxford United Kingdom, pp. 245-263.

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.

Fielding, M., Klebaner, F.C., Landsman, Z., 2006, Random volatility and option prices with the generalized Student-t distribution, Advances and Applications in Statistics, vol 6, issue 1, Pushpa Publishing House, Allahabad India, pp. 111-120.

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.

Goldentyer, L., Klebaner, F.C., Liptser, R.S., 2005, Tracking volatility, Problems of Information Transmission, vol 41, issue 3, Pleiades Publishing Inc., Delaware USA, pp. 212-229.

Klebaner, F.C., Jagers, P., 2004, Branching processes in near-critical random environments, Journal of Applied Probability, vol 41A, Applied Probability Trust, Sheffield UK, pp. 17-23.

Khasminskii, R., Klebaner, F.C., 2003, A note on averaging and homogenization, Stochastics and Dynamics, vol 3, issue 1, World Scientific Publishing Co Pte Ltd, SINGAPORE, pp. 113-120.

Borovkov, K., Klebaner, F.C., Virag, E., 2003, Random step functions model for interest rates, Finance and Stochastics, vol 7, issue 1, Springer-Verlag, Heidelberg GERMANY, pp. 123-143.

Jagers, P., Klebaner, F.C., 2003, Random variation and concentration effects in PCR, Journal of Theoretical Biology, vol 224, issue 3, Academic Press Ltd/ Elsevier Science Ltd, London UK, pp. 299-304.

Khasminskii, R., Klebaner, F.C., Liptser, R.S., 2003, Some results on the Lotka-Volterra model and its small random perturbations, Acta Applicandae Mathematicae, vol 78, issue 1-3, Kluwer Academic Publishers, Netherlands, pp. 201-206.

Klebaner, F.C., 2002, Option price when the stock is a semimartingale, Electronic Communications in Probability, vol 7, issue 1, Institute of Mathematical Statistics, USA, pp. 79-83.

Klebaner, F.C., Sagitov, S., 2002, The age of a Galton-Watson population with a geometric offspring distribution, Journal of Applied Probability, vol 39, issue 4, Applied Probability Trust, UK, pp. 816-828.

Klebaner, F.C., Liptser, R.S., 2001, Asymptotic analysis and extinction in a stochastic Lotka-Volterra model, The Annals of Applied Probability, vol 11, issue 4, pp. 1263-1291.

Khasminskii, R., Klebaner, F.C., 2001, Long term behavior of solutions of the Lotka-Volterra system under small random perturbations, The Annals of Applied Probability, vol 11, issue 3, pp. 952-963.

Jagers, P., Klebaner, F.C., 2000, Population-size-dependent and age-dependent branching processes, Stochastic Processes and their Applications, vol 87, pp. 235-254.

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.

Klebaner, F.C., 2010, Approximations in population-dependent branching processes, Lecture Notes in Statistics - Proceedings, 20 April 2009 to 23 April 2009, Springer Verlag, Germany, pp. 71-78.

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.

Klebaner, F.C., 2005, Behaviour of a dynamical system far from its equilibrium, Complex Analysis and Dynamical Systems II, 09/06/2003 to 12/06/2003, American Mathematical Society, Ramat-Gan Israel, pp. 229-231.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Applications of Stochastic Processes to Evolution Theory.

Supervisors:

Tian, T (Main), Klebaner, F (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:

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 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:

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:

Tokarev, D.

Program of Study:

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

Supervisors:

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