Kais Hamza

Monash University

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

7

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1,388

CITATIONS
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in Total Papers Citations

8

Scholarly Papers (7)

1.

A Hybrid Stochastic Volatility Model Incorporating Local Volatility

2012 Fourth International Conference on Computational and Information Sciences (ICCIS)
Number of pages: 4 Posted: 04 Jun 2012 Last Revised: 28 Jan 2014
Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 449 (62,500)
Citation 2

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implied volatility, local volatility, stochastic-local volatility, leverage function

2.

Pricing Barrier and American Options under the SABR model on the GPU

Concurrency and Computation: Practice and Experience, 2011
Number of pages: 15 Posted: 04 Aug 2010 Last Revised: 10 Apr 2011
Yu Tian, Zili Zhu, Fima Klebaner and Kais Hamza
Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 440 (64,042)
Citation 3

Abstract:

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CUDA, SABR model, quasi-Monte Carlo, barrier options, American options, GPU memory usage

3.

Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach

Accepted by Quantitative Finance
Number of pages: 27 Posted: 01 Dec 2015 Last Revised: 21 Sep 2018
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 175 (170,159)
Citation 2

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dynamic portfolio optimization, multi-period asset allocation, transaction cost, liquidity cost, permanent market impact, least squares Monte Carlo

4.

Pricing Window Barrier Options with a Hybrid Stochastic-Local Volatility Model

2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics
Number of pages: 8 Posted: 20 Nov 2013 Last Revised: 23 Feb 2014
Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University
Downloads 166 (177,276)
Citation 3

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stochastic-local volatility, leverage function, window barrier, Monte Carlo, finite difference

5.

Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 25 Posted: 22 Aug 2016 Last Revised: 14 Jun 2019
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University - School of Mathematical Sciences and Monash University
Downloads 157 (185,832)

Abstract:

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target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression

6.

Skewed Target Range Strategy for Multiperiod Portfolio Optimization Using a Two-Stage Least Squares Monte Carlo Method

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 06 Jun 2019
Commonwealth Scientific and Industrial Research Organization (CSIRO), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University, CSIRO, Monash University - School of Mathematical Sciences and Monash University
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Abstract:

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target-based portfolio optimization, alternative performance measure, multiperiod portfolio optimization, least squares Monte Carlo, two-stage regression

7.

Calibrating and Pricing with a Stochastic-Local Volatility Model

Journal of Derivatives, Spring 2015, Vol. 22, No. 3: pp. 21-39, DOI: 10.3905/jod.2015.22.3.021
Posted: 30 Nov 2012 Last Revised: 17 Mar 2015
Monash University, Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation), Monash University and Monash University

Abstract:

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local volatility, stochastic volatility, leverage function, calibration, exotic options pricing