Items where Author is "Harun, Hanani Farhah"

Article

Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2020) Option-implied adjusted volatility using modified generalised Leland Models: an empirical study on Dow Jones industrial average index options. Malaysian Journal of Mathematical Sciences, 14 (S). pp. 93-105. ISSN 1823-8343 E-ISSN 2289-750X

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2019) Empirical performance of a model-free volatility against the different option strike size discreteness. Malaysian Journal of Mathematical Sciences, 13 (Special Issue). pp. 1-13. ISSN 1823-8343

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2019) The performance of higher moments estimators: an empirical study. Malaysian Journal of Mathematical Sciences, 13 (SI). pp. 35-50. ISSN 18238343

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2019) Wavelet improved option-implied moments: an empirical study. ASM Science Journal, 12 (Special Issue 5). pp. 167-176. ISSN 1823-6782

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2015) Implied adjusted volatility functions: Empirical evidence from Australian index option market. AIP Conference Proceedings , 1643. pp. 622-627. ISSN 0094-243X E-ISSN 1551-7616

Abdullah, Mimi Hafizah and Harun, Hanani Farhah and Nik Idris, Nik Ruzni (2014) Implied adjusted volatility by leland option pricing models: evidence from Australian index options. International Journal of Social, Management, Economics and Business Engineering, 8 (8). pp. 2599-2610. ISSN 1307-6892

Proceeding Paper

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2023) Wavelet transform in stock prices forecasting and related financial data. In: 1ST INTERNATIONAL POSTGRADUATE CONFERENCE ON OCEAN ENGINEERING TECHNOLOGY AND INFORMATICS 2021 (IPCOETI 2021), 21 June 2021, Kuala Trengganu.

Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2022) Extending generalised Leland option pricing models: simulation using Monte Carlo. In: 3rd International Conference on Applied & Industrial Mathematics and Statistics 2022, 24-26 August 2022, Online (Microsoft Teams). (Unpublished)

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2022) Implied volatility functions of BS versus Leland: empirical evidence from Australian index option market. In: 3rd International Conference on Applied & Industrial Mathematics and Statistics 2022, 24-26 August 2022, Online (Microsoft Teams). (Unpublished)

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2021) Correcting for risk premium on extended generalised Leland models: an empirical study on Dow Jones Industrial Average (DJIA) index options. In: 28th Simposium Kebangsaan Sains Matematik, SKSM 2021, 28-29 Jul 2021, Virtual.

Bahaludin, Hafizah and Sristy, Sadia Tasnim and Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2021) The impact of COVID-19 pandemic on the interconnectedness of stocks in Bursa Malaysia. In: International Seminar on Mathematics in Industry 2021 (ISMI2021), Johor Bahru, Malaysia. (Unpublished)

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2018) Empirical performance of a model-free volatility against the different option strike size discreteness. In: Conference on Mathematics, Informatics and Statistics (CMIS2018), 29th-31st October 2018, Kuala Terengganu, Terengganu. (Unpublished)

Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2014) An investigation of implied volatility during financial crisis: Evidence from Australian index options. In: 3rd International Conference On Fundamental And Applied Sciences (ICFAS 2014), 3rd-5th June 2014, Kuala Lumpur, Malaysia.

Abdullah, Mimi Hafizah and Harun, Hanani Farhah (2014) An investigation of implied volatility during financial crisis: evidence from Australian index options. In: The 3rd International Conference on Fundamental and Applied Sciences, 3 – 5 Jun 2014, Kuala Lumpur.

Abdullah, Mimi Hafizah and Harun, Hanani Farhah and Nik Idris, Nik Ruzni (2014) Implied adjusted volatility by leland option pricing models: evidence from Australian index options. In: International Conference on Applied Mathematics (ICAM 2014), 18th-19th August 2014, Istanbul, Turkey. (Unpublished)

Harun, Hanani Farhah and Abdullah, Mimi Hafizah (2014) Implied adjusted volatility functions: empirical evidence from Australian index option market. In: The 2nd ISM International Statistical Conference 2014 with Applications in Sciences and Engineering (ISM-II) , 12th -14th August 2014, Kuantan, Pahang.