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Kais Hamza - Researcher Profile
Kais Hamza
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
Limit theorems and ergodicity for general bootstrap random walks* Electronic Journal of Probability 2022 A
Long range one-cookie random walk with positive speed Stochastic Processes and their Applications 2021 A
Matching the distributions of the marginals and the sums for the Meixner class Theory of Probability and its Applications 2021 A
When “Better” is better than “Best” Operations Research Letters 2021 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
A deterministic walk on the randomly oriented Manhattan lattice Electronic Journal of Probability 2019 A
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach Quantitative Finance 2019 A
Invariance principle for biased bootstrap random walks Stochastic Processes and their Applications 2019 A
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
Bootstrap random walks Stochastic Processes and their Applications 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
On the Markov property of some Brownian martingales Stochastic Processes and their Applications 2012 A
The mixing advantage for bounded random variables Statistics & Probability Letters 2011 B
An exact test for hazard similarity Australian and New Zealand Journal of Statistics 2009 A
The equivalent martingale measure conditions in a general model for interest rates Advances in Applied Probability 2005 A
On the variance to mean ratio for random variables from Markov chains and point processes Journal of Applied Probability 1998 A
The smallest uniform upper bound on the distance between the mean and the median of the binomial and Poisson distributions Statistics & Probability Letters 1995 B