Fima Klebaner

Monash University

23 Innovation Walk

Wellington Road

Clayton, Victoria 3800

Australia

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 45,275

SSRN RANKINGS

Top 45,275

in Total Papers Downloads

1,080

SSRN CITATIONS

5

CROSSREF CITATIONS

5

Scholarly Papers (4)

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 459 (70,343)
Citation 5

Abstract:

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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 450 (72,074)

Abstract:

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

3.

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 171 (197,071)
Citation 2

Abstract:

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

4.

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
Yu Tian, Zili Zhu, Geoffrey Lee, Fima Klebaner and Kais Hamza
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