Prof. Moawia Alghalith

Department of Economics

University of the West Indies, St. Augustine

Trinidad

Email: malghalith@gmail.com

Publications (Selected)

1. Marco Frasca, Alfonso Farina, Moawia Alghalith, Quantized noncommutative Riemann manifolds and stochastic processes: The theoretical foundations of the square root of Brownian motion, Physica A: Statistical Mechanics and its Applications, Volume 577, 2021, 126037.
2. Moawia Alghalith (2021). The price of the Bermudan option: A simple, explicit formula, Communications in Statistics - Theory and Methods, DOI: 10.1080/03610926.2021.1969407
3. Alghalith, M (2020). Pricing the American options: A closed-form, simple formula. Physica A: Statistical Mechanics and its Applications, forthcoming.
4. Alghalith, M (2020). Pricing the American options: A closed-form, simple formula. Physica A: Statistical Mechanics and its Applications, forthcoming.
5. Alghalith, M. Pricing options under simultaneous stochastic volatility and jumps: A simple closed-form formula without numerical/computational methods,Physica A: Statistical Mechanics and its Applications, Volume 540, 2020, 123100.
6. Alghalith, M.; Floros, C.; Gkillas, K. Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility. Risks 2020, 8, 35. https://doi.org/10.3390/risks8020035
7. Alghalith M and Wong WK (2020). Welfare gains from hedging. Annals of Financial Economics, 15, 2050009.
8. Alghalith M and R Lalloo (2020). Hedging under price, output and basis risk: empirical analysis. Annals of Financial Economics, 15, 2050008.
9. Alghalith, M. (2020). A note on the irrelevance of unit root tests and cointegration tests, Biometrical Letters, 57(1), 85-87.
10. Alghalith M and C Floros (2020). Futures hedging with stochastic volatility: a new method. International Journal of Computational Economics and Econometrics, 10.
11. Moawia Alghalith & Wing-Keung Wong, (2020). "Extension of Stein's Lemmas to General Functions and Distributions," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(4), pages 77-88, December.
12. Alghalith, M. (2019). A new parametric method of estimating the joint probability density: Revisited, Physica A: Statistical Mechanics and its Applications, 527, 121455. Annals of Financial Economics.
13. Alghalith, M. (2019). New methods of modeling and estimating preferences. Studies in Economics and Finance, 36, 83-88.
14. Alghalith, M. (2019). A simple solution to the specification error. Biometrical Letters, 56, 13-16.
15. Alghalith, M. (2019). A Note on Taylor Expansions Without the Differentiability Assumption. Australian Journal of Mathematical Analysis and Applications, 16, 1-3.
16. Alghalith, M., C. Floros and T. Poufinas (2019). Simplified option pricing techniques. Annals of Financial Economics, 14, 1950003.
17. Alghalith, M. (2018). Pricing the American options using the Black–Scholes pricing formula. Physica A: Statistical Mechanics and its Applications, 507, 443-445.
18. Alghalith, M. (2018). The perfect regression and causality test: A solution to regression problems. Biometrical Letters, 55, 45-48.
19. Alghalith, M. (2018). New Exact Taylor's Expansions without the Remainder: Application to Finance. The Australian Journal of Mathematical Analysis and Applications, 15, 1-5.
20. Alghalith, M. and C. Floros (2018). Futures Hedging with Stochastic Volatility: A New Method. Int. J. of Computational Economics and Econometrics.
21. Alghalith, M. (2017). ''Stochastic optimization without Ito's lemma: applications to the portfolio model'', Economics Bulletin, Vol. 37 No. 4 pp. 2533-2536.
22. Alghalith, M. (2017). 'A note on the stochastic portfolio optimization'', Economics Bulletin, Vol. 37 No. 2 pp. 1265-1266.
23. Alghalith, M. et al (2017). Input Demand under Joint Energy and Output Prices Uncertainties. Asia-Pacific Journal of Operational Research, 34, 12 pages.
24. Alghalith, M. et al (2017). The impact of joint energy and output prices uncertainties in a mean-variance framework. Theoretical Economics Letters, 7, 1108 -120.
25. Alghalith, M. and C. Floros (2017). Futures Hedging with Stochastic Volatility: A New Method. Int. J. of Computational Economics and Econometrics, forthcoming.
26. Alghalith, M. (2017). A new parametric method of estimating the joint probability density. Physical A: Statistical Mechanics and its Applications, 471, 799-803.
27. Alghalith, M. (2016). A note on the theory of the firm under multiple uncertainties. European Journal of Operational Research, 251, 341-343.
28. Alghalith, M. (2016). A note on a new approach to both price and volatility jumps: An application to the portfolio model. The ANZIAM Journal (Cambridge), 58, 182-186.
29. Alghalith, M. (2016). Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method. Econometric Reviews, 35, 257-262.
30. Alghalith, M. (2016). Novel and simple non-parametric methods of estimating the joint and marginal densities. Physica A: Statistical Mechanics and its Applications, 454, 94-98.
31. Alghalith, M., Xu, G., Wong, W.K. and Zhu, L. A. (2016). General Optimal Investment Model in the Presence of Background Risk, Annals of Financial Economics, 11, 1-8.
32. Alghalith, M. and Roach, S. (2016). A Theoretical Model of Remittances with Applications. Economia Iinternazionale, 69, 111-118.
33. Alghalith, M. (2016). Economic and Financial Informatics. Journal of Informatics and Data Mining, 1.
34. Alghalith, M. (2015). Contributions to Mathematical Finance Applicable to Medical Economics, Journal of Health & Medical Economics, 2.
35. Alghalith, M. (2015). New stochastic calculus. The Australian Journal of Mathematical Analysis and Applications, 12, 1-4.
36. Alghalith, M. (2015). A note on transforming PDEs to ODEs. International Journal of Financial Engineering, 2, 1-4.
37. Alghalith, M., C. Floros and R. Lalloo (2015). A note on Dynamic Hedging: Empirical evidence TSE-100 and S&P 500 Futures Markets, Journal of Risk Finance, 16, 190 - 196.
38. Alghalith, M. (2014). Taylor's series for non-differentiable functions, Mathematical Economics Letters, 1, 43-45.
39. Alghalith, M (2014). Introduction to optimization in finance, Journal Optimization Theory and Applications, 161 (1) (printed version).
40. Alghalith, M (2014). Option pricing: very simple formulas. Journal of Derivatives and Hedge Funds, 20, 71-73.
41. Alghalith, M., T. Polius and M. Franklin (2014). The Impact of Oil Price on the Stock Market. Economia Internazionale, 67, 433-438.
42. Alghalith, M. (2013). New Solutions to Non-smooth PDES. The Australian Journal of Mathematical Analysis and Applications, 10, 1-3.
43. Alghalith, M. (2013). A very Simple Solution to Non-linear Partial Differential Equations. Mathematical Economics Letters, 1, 1-2.
44. Alghalith, M. (2013). An exceedingly simple method of pricing American options, Journal of Derivatives and Hedge Funds, 19, 75.
45. Alghalith, M. (2013). "The Interaction among Production, Hedging and Investment Decisions." Economic Modelling, 30, 193-195.