Doctor Rehez Ahlip
Senior Lecturer,
Mathematics & Statistics
Biography
Qualifications
- PhD Queensland Institute of Technology
- MSc Flinders University of South Australia
- MSc Patrice Lumumba Peoples' Friendship University
Professional Memberships
- Referee Journal Quantitative Finance (2015 - 2022)
- Referee International Journal Theoretical And Applied Finance (2016 - 2022)
- Referee Journal Financial Engineering (2014 - 2022)
Interests
- Complex Analysis
- Financial Mathematics
- Liquidity risk and credit risk modelling
- Portfolio optimisation in incomplete markets
- Stochastic calculus
Organisational Unit (School / Division)
- Mathematics & Statistics
Contact
| Email: | R.Ahlip@westernsydney.edu.au |
|---|---|
| Phone: | (02) 9685 9178 (02) 9685 9178 |
| Mobile: | |
| Location: | ER.G.07 ParramattaER.G.07 Parramatta |
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Teaching
Previous Teaching Areas
- 200023 Analysis, 2021
- 200023 Analysis, 2022
- MATH1015 Mathematics 1B, 2020
- MATH1030 Statistics for Business, 2020
- MATH2001 Advanced Calculus, 2021
- MATH2001 Advanced Calculus, 2022
Publications
Chapters in Books
- Ahlip, R. and Rutkowski, M. (2014), 'Forward start foreign exchange options under Heston's volatility and the CIR interest rates', Inspired by Finance: The Musiela Festschrift, Springer 9783319020686.
- Ahlip, R. (2010), 'Pricing Foreign Exchange Options with Stochastic Volatility', Methods and Applications of Statistics in Business, Finance, and Management Science, Wiley 9780470405109.
Journal Articles
- Ahlip, R., Park, L., Prodan, A. and Weissenhofer, S. (2021), 'Forward start options under Heston affine jump-diffusions and stochastic interest rate', International Journal of Financial Engineering, vol 8, no 1 .
- Geiger, V., Mulligan, J., Date-Huxtable, L., Ahlip, R., Jones, D., May, E., Rylands, L. and Wright, I. (2018), 'An interdisciplinary approach to designing online learning : fostering pre-service mathematics teachers' capabilities in mathematical modelling', ZDM, vol 50, no 1-2 , pp 217 - 232.
- Ahlip, R., Park, L. and Prodan, A. (2018), 'Semi-analytical option pricing under double Heston jump-diffusion hybrid model', Journal of Mathematical Sciences and Modelling, vol 1, no 3 , pp 138 - 152.
- Ahlip, R., Park, L. and Prodan, A. (2017), 'Pricing currency options in the Heston/CIR double exponential jump-diffusion model', International Journal of Financial Engineering, vol 4, no 1 .
- Ahlip, R. and Rutkowski, M. (2016), 'Pricing of foreign exchange options under the MPT stochastic volatility model and the CIR interest rates', European Journal of Finance, vol 22, no 7 , pp 551 - 571.
- Ahlip, R. and Prodan, A. (2015), 'Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes', International Journal of Stochastic Analysis, vol 2015 .
- Ahlip, R. and Rutkowski, M. (2014), 'Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model', Applied Mathematical Finance, .
- Ahlip, R. and Rutkowski, M. (2013), 'Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates', Quantitative Finance, vol 13, no 6 , pp 955 - 966.
- Ahlip, R. and King, R. (2010), 'Computational Aspects of Pricing Foreign Exchange Options with Stochastic Volatility and Stochastic Interest Rates', Journal Statistical Planning and Inference, vol 140, no 5 , pp 1256 - 1268.
- Ahlip, R. and Rutkowski, M. (2009), 'Forward start options under stochastic volatility and stochastic interest rates', International Journal Theoretical and Applied Finance, vol 12, no 2 , pp 209 - 225.
- Ahlip, R. (2008), 'Foreign exchange options under stochastic volatility and stochastic interest rate', International Journal of Theoretical Applied Finance, vol 11, no 3 , pp 277 - 294.
Conference Papers
- Prodan, A., Iorfino, F., Glavatskiy, K., Varidel, M., Ahlip, R. and Hickie, I. (2021), 'Functional components used in agent-based models of mental illness progression and intervention', MSSANZ/IMACS Biennial Conference on Modelling and Simulation, Sydney, N.S.W..
- Iorfino, F., Prodan, A., Varidel, M., Glavatskiy, K., Ahlip, R. and Hickie, I. (2021), 'Modelling social and occupational outcomes for young people who attend early intervention mental health services', MSSANZ/IMACS Biennial Conference on Modelling and Simulation, Sydney, N.S.W..
- Ahlip, R., Park, L. and Prodan, A. (2016), 'Pricing currency options in the Heston/CIR double exponential jump-diffusion model', Portuguese Finance Network. Finance Conference, Covilh?, Portugal.
- Geiger, V., Date-Huxtable, L., Ahlip, R., Herberstein, M., Jones, D., May, E., Rylands, L., Wright, I. and Mulligan, J. (2016), 'Designing online learning for developing pre-service teachers' capabilities in mathematical modelling and applications', Mathematics Education Research Group of Australasia. Conference, Adelaide, S.A..
- Ahlip, R. and King, R. (2004), 'Pricing Stock Options With Stochastic Volatility and Interest Rates', International Conference Stochastic Finance 2004, Technical University of Lisbon, Portugal.
- Financial Mathematics
- Liquidity risk and credit risk modelling
- Portfolio optimisation in incomplete markets
- Stochastic calculus
This information has been contributed by Doctor Ahlip.