Lecturer Dr. Rehez Ahlip

• Biography
• Areas of Research / Teaching Expertise  
• Grants / Current Projects
• Publications
• Optional
• Contact Details

Biography

Ph.D University of Technology Queensland in Applied Mathematics,1997.

M.Sc. Flinders University of South Australia
in Applied Mathematics,1985.

M.Sc. Friendship University of Moscow in Applied Mathematics,1977.

Since 1987, Lecturer in the School of Computing and Mathematics University of Western Sydney.
Currently Head Key Program Bachelor of Business and Commerce(Financial Mathematics).

Honours Coordinator (School of QM&MS) 2005-2006

Lecturer Department of Mathematics , University of Sri Lanka, Moratuwa Campus.
1977-1983.

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Areas of Research / Teaching Expertise

Financial Mathematics, Complex Analysis,Stochastic calculus
Portfolio optimisation in incomplete markets
Liquidity risk and credit risk modelling

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Grants / Current Projects

Current Projects:
Pricing forward-start straddle with stochastic volatility.(with Professor Marek Rutkowski)

Finite dimensional filter in the case where the signal process is given by a delay stochastic differential equation. (with Professor Wei Xing Zheng)

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Publications

Ahlip,R. and Rutkowski, M. Forward Start Options Under Stochastic Volatility and Stochastic Interest Rates.
International Journal of Theoretical and Applied Finance
Vol. 12, No. 2 (2009) 1–17
World Scientific Publishing Company

Ahlip,R. Foreign Exchange Options Under Stochastic Volatility and Stochastic Interest Rate
International Journal of Theoretical and Applied Finance.
Vol. 11, No. 3 (2008) 277–294
World Scientific Publishing Company

Ahlip,R. and King, R. Stochastic Volatility and Stochastic Interest Rates With
Mean-Reverting Ornstein-Uhlenbeck and Square Root Processes.
Vol. 17, No. 4 (2005) 345-347

Ahlip, R. and Vo Anh. Nonlinear Filtering of a System of Logistic Equations.
Journal of the Australian Mathematical Society, 55 (1997) 218-238.

Ahlip, R. and King, R. Global Asymptotic Stability of a Periodic System of Delay Logistic Equations
Journal of the Australian Mathematical Society 53 (1996),
373-389.

Ahlip, R. and Gopalsamy, K. Global Asymptotic Stability of Non-negative Steady States in Model Ecosystems
International Journal Systems Science, 15 (1984), No.1,
53-62.

Ahlip, R. and Gopalsamy, K. Time Delays In n-Special Competition-1: Global Stability in Constant Environments
Bulletin of the Australian Mathematical Society , 27 (1983), 427-441.

Pricing Foreign Exchange Options with Stochastic Volatility,
2009, To appear "Handbook of Business, Finance and Management Sciences" Encyclopedia of Statistical Sciences, Second Edition," John Wiley & Sons, Newark, NJ.

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Optional

Conferences & Invited Talks
Foreign Exchange Options under stochastic volatility and stochastic interest rates.
Guest presenter for the Global Quantitative Analysis “Master Class” series. August, 2008 Commonwealth Bank of Australia.

Stochastic Analysis and its Applications in Finance and Insurance. Conducted by Prof. Marc Yor from the University of Paris. University
of Technology Sydney, December 2007.

"Workshop on Mathematical Modelling of Credit Risk" conducted by Prof. Monique Jeanblanc from University d'Evry Paris. University of New South Wales June 5-7. 2006 – Invited by Professor Marek Rutkowski

Stochastic Volatility and Stochastic Interest Rates with Mean Reverting Ornstein-Uhlenbeck and Square Root processes. Paper was presented at “The International Stochastic Finance Conference”,
2004. Lisbon Portugal.

Referee for Journal of Applied Mathematics and Decision Sciences

Referee for Journal of Statistical Planning and Inference

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