University of Western Sydney

School of Computing, Engineering and Mathematics Seminars

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Rehez Ahlip

Affiliation: University of Western Sydney

URL: http:/­/­tims.scm.uws.edu.au/­

Biography: Rehez Ahlip is a Senior Lecturer with the School of Computing, Engineering and Mathematics and a member of the UWS Centre for Research in Mathematics. His research is in the area of financial mathematics that defines pricing and hedging of derivatives. For the last 7 years Rehez has been collaborating with Professor Marek Rutkowski from The University of Sydney on developing mathematical models for pricing of foreign exchange options of increasing sophistication. As the result of this research Rehez has published a number of well received journal papers.

Seminars given by Rehez Ahlip


Pricing Foreign Exchange Options in Heston's Model with Cox Ross Ingersoll Interest Rates

Speaker: Rehez Ahlip (University of Western Sydney)

Time: 03/05/2010 from 14:00 to 15:00

Venue: The dungeon (EC.G.23), Parramatta UWS

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Analytic formula and diffusion approximations for Pricing FX options under the Heston Model and CIR interest rates.

Speaker: Rehez Ahlip (University of Western Sydney)

Time: 30/04/2012 from 14:00 to 15:00

Venue: Access Grid UWS. Presented from Parramatta (EB.1.32), accessible from Campbelltown (26.1.50) and Penrith (Y239).

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Pricing Foreign Currency Options Under Levy Processes and Stochastic Interest Rates

Speaker: Rehez Ahlip (University of Western Sydney)

Time: 13/05/2013 from 14:00 to 15:00

Venue: Access Grid UWS. Presented from Parramatta (EB.1.32), accessible from Campbelltown (26.1.50) and Penrith (Y239).

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Calibration and pricing Foreign Exchange Options under the Double Heston - Jump Diffusion - CIR Model

Speaker: Rehez Ahlip (University of Western Sydney), Ante Prodan (University of Western Sydney)

Time: 19/10/2015 from 14:00 to 15:00

Venue: Access Grid UWS. Presented from Parramatta (EB.1.32), accessible from Campbelltown (26.1.50) and Penrith (Y239).

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