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Fima Klebaner - Researcher Profile
Fima Klebaner
MONASH Finance
Professor
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Publications Title Journal Name Year ABDC Ranking
Expectation of local times and the Dupire formula Stochastic Processes and their Applications 2022 A
Convergence of the age structure of general schemes of population processes Bernoulli 2020 A
Limit theorems for multi-type general branching processes with population dependence Advances in Applied Probability 2020 A
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach Quantitative Finance 2019 A
Populations with interaction and environmental dependence: From few, (almost) independent, members into deterministic evolution of high densities Stochastic Models 2019 B
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method Journal of Computational Finance 2019 C
Persistence of small noise and random initial conditions Advances in Applied Probability 2018 A
Optimal portfolios with downside risk Quantitative Finance 2017 A
On the emergence of random initial conditions in fluid limits Journal of Applied Probability 2016 A
Calibrating and pricing with a stochastic-local volatility model The Journal of Derivatives 2015 A
Escape from the boundary in Markov population processes Advances in Applied Probability 2015 A
Mimicking self-similar processes Bernoulli 2015 A
Option Pricing for Symmetric Lévy Returns with Applications Asia-Pacific Financial Markets 2015 C
How did we get here? Journal of Applied Probability 2014 A
When a stochastic exponential is a true martingale. Extension of the Benes method Theory of Probability and its Applications 2014 A
Applications of stochastic processes in biology and medicine International Journal of Stochastic Analysis 2013 B
On the Markov property of some Brownian martingales Stochastic Processes and their Applications 2012 A
Asymptotic analysis of ruin in the constant elasticity of variance model Theory of Probability and its Applications 2011 A
Solutions and simulations of some one-dimensional stochastic differential equations Asia-Pacific Financial Markets 2010 C
Prediction of missing observations by a control method Advances and Applications in Statistics 2008 C
Estimation and prediction of a non-constant volatility Asia-Pacific Financial Markets 2007 C
Markovian paths to extinction Advances in Applied Probability 2007 A
Transformations of Galton-Watson processes and linear fractional reproduction Advances in Applied Probability 2007 A
On estimation of volatility surface and prediction of future spot volatility Applied Mathematical Finance 2006 B
Random volatility and option prices with the generalized Student-t distribution Advances and Applications in Statistics 2006 C
The equivalent martingale measure conditions in a general model for interest rates Advances in Applied Probability 2005 A
Branching processes in near-critical random environments Journal of Applied Probability 2004 A
Random step functions model for interest rates Finance and Stochastics 2003 A
The age of a Galton-Watson population with a geometric offspring distribution Journal of Applied Probability 2002 A
Asymptotic analysis and extinction in a stochastic Lotka-Volterra model Annals of Applied Probability 2001 A
Long term behavior of solutions of the Lotka-Volterra system under small random perturbations Annals of Applied Probability 2001 A
Population-size-dependent and age-dependent branching processes Stochastic Processes and their Applications 2000 A
Moderate deviations for randomly perturbed dynamical systems Stochastic Processes and their Applications 1999 A
On the Quasi-stationary distribution for some randomly perturbed transformations of an interval Annals of Applied Probability 1998 A
Autoregressive approximation in branching processes with a threshold Stochastic Processes and their Applications 1994 A
Population-dependent branching processes with a threshold Stochastic Processes and their Applications 1993 A
Geometric rate of growth in markov chains with applications to population-size-dependent models with dependent offspring Stochastic Analysis and Applications 1986 B
On the renewal measure for Gaussian sequences Statistics & Probability Letters 1986 B
POPULATION-SIZE-DEPENDENT BRANCHING PROCESS WITH LINEAR RATE OF GROWTH. Journal of Applied Probability 1983 A