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Mimi Hafizah Bt. Abdullah
Associate Professor

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Dr Mimi Hafizah Abdullah received her Ph.D in Business and Management in 2012 from the University of South Australia. Her thesis was titled a??Leland Option Pricing Models and Transaction Costs: An Empirical Studya??. Her specialization is in Financial Mathematics or Quantitative Finance and she is interested in the derivatives research area. Dr. Mimi Hafizah Abdullah taught at KBU International College, Bandar Utama, Selangor from 1993 to 2003. There, she was the Course Leader for the Business programme. She taught various subjects in the Business and Engineering programmes such as Engineer ... show more

  • Doctor of Philosophy in Business and Management - Doctor of Philosophy, University of South Australia
  • Master of Business Administration - Masters Degree, International Islamic University Malaysia
  • Diploma in Education - Diploma, edu 1 - 1
  • Bachelor of Science - Bachelor Degree, University of Adelaide
  • Natural Science ~ Mathematical Sciences ~ Applied Statistics ~ Statistical Inferences - Quantitative Finance
  • Natural Science ~ Mathematical Sciences ~ Mathematics and Statistics for Science and Engineering ~ Other Mathematics and Statistics for Science and Engineering n.e.c. - Financial Mathematics
  • Natural Science ~ Mathematical Sciences ~ Mathematical Science for Education ~ Other Mathematical Science for Education n.e.c. -
  • 2013 - 2013 , Universiti Teknologi Malaysia
FINAL YEAR PROJECT 2012/2013
FINANCIAL MATHEMATICS 1 2011/2012 2018/2019 2019/2020
FINANCIAL MATHEMATICS I 2005/2006 2006/2007 2007/2008
FINANCIAL MATHEMATICS II 2004/2005 2005/2006 2006/2007 2007/2008
FINANCIAL MATHEMATICS III 2005/2006 2006/2007 2007/2008 2012/2013 2013/2014 2014/2015 2015/2016 2016/2017 2017/2018 2018/2019 2019/2020
INDUSTRIAL TRAINING 2005/2006
INTRODUCTION TO FINANCIAL MATHEMATICS 2011/2012 2012/2013 2013/2014 2014/2015 2015/2016 2016/2017 2017/2018 2018/2019 2019/2020
STATISTICAL DATA ANALYSIS 2013/2014
In Progress
2019 - Present Formulating a new financial network of shariah-compliant stocks using minimum spanning tree (MST).
2018 - Present Financial network analysis of the Malaysian shariah-compliant companies using minimal spanning tree
2015 - Present The Role of Option-Implied Information in Improving a Portfolio Selection
Completed
2013 - 2016 Integrating Individual Patient Data (IPD) and Aggregate Data (AD) in Continuous Meta-Analysis: An Empirical Assessment and an Alternative Two-Stage Approach
2012 - 2015 Implied Adjusted volatility functions : Theory and Empirical Tests
2011 - 2013 (RU2011) Estimation of transaction costs on the Bursa Malaysia: an empirical research
19 February 2013 Gold Medal. 2013 IIUM Research, Invention and Innovation (IRIIE 2013) - University level.
21 February 2012 Bronze Medal. 2012 IIUM Research, Invention and Innovation (IRIIE 2012) - University level.
Article
2019 A network analysis of shariah-compliant stocks across global financial crisis: a case of Malaysia. Modern Applied Science , 13 (7) pp.80-93
2018 A network analysis of the stock market in Malaysia, Singapore and Indonesia. International Journal of Engineering & Technology , 7 (4.1) pp.99-101
2018 Science@iium. science@iium pp.1-40
2018 science@iium. science@iium (December 2018) pp.1-40
2016 The development of a risk-neutral density estimation method. Journal of Engineering and Applied Sciences , 11 (7) pp.1633-1638
2015 Minimal spanning tree for 100 companies in Bursa Malaysia. AIP Conference Proceedings , 1643 pp.609-615
2015 Implied adjusted volatility functions: Empirical evidence from Australian index option market. AIP Conference Proceedings , 1643 pp.622-627
2015 A study on the effects of different levels of data on the overall meta-analysis estimates. Far East Journal of Mathematical Sciences (FJMS) , 96 (1) pp.73-86
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
2013 Performance of selected imputation techniques for missing variances in meta-analysis . Journal of Physics: Conference Series , 435 (1) pp.012037
2012 Implied transaction costs by Leland option pricing model: a new approach and empirical evidence. Journal of Derivatives & Hedge Funds , 18 (4) pp.333-360

Conference or Workshop Item

2019 The investigation on the impact of financial crisis on Bursa Malaysia using minimal spanning tree. In: The 4th International Conference on Computing, Mathematics and Statistics 2019
2019 Network analysis of shariah-compliant stocks on Bursa Malaysia by using minimum spanning tree (MST). In: The 4th Innovation and Analytics Conference & Exhibition (IACE 2019)
2019 Evaluation on the financial performance of the companies in Malaysia with Zmijewski model. In: The 4th International Conference on Computing, Mathematics and Statistics 2019 (ICMS)
2018 Empirical performance of a model-free volatility against the different option strike size discreteness. In: Conference on Mathematics, Informatics and Statistics (CMIS2018)
2018 The performance of higher moments estimators: an empirical study. In: Conference on Mathematics, Informatics and Statistics (CMIS2018)
2017 Empirical performance of interpolation techniques in risk-neutral density (RND) estimation. In: 37th International Conference on Quantum Probability and Related Topics, QP 2016; Faculty of Science of the International Islamic University MalaysiaKuantan; Malaysia
2017 Comparison of volatility function technique for risk-neutral densities estimation. In: The 24th National Symposium On Mathematical Sciences: Mathematical Sciences Exploration For The Universal Preservation
2017 Estimation of option-implied risk-neutral into real-world density by using calibration function. In: 4th International Conference on Mathematical Sciences - Mathematical Sciences: Championing the Way in a Problem Based and Data Driven Society, ICMS 2016;
2017 Asset allocation using option-implied moments. In: 1st International Conference on Applied & Industrial Mathematics and Statistics (ICoAIMS 2017)
2016 Estimation of option-implied risk-neutral into real-world density by using calibration function. In: The 4th International Conference On Mathematical Sciences (ICMS4)
2016 The development of a risk-neutral density estimation method. In: 2016 Applied Mathematics in Science and Engineering International Conference (APPEMSE)
2016 Empirical estimation of risk-neutral density from option prices. In: 37th International Conference on Quantum Probability and Related Topics (QP37) 2016
2016 Comparison of volatility function technique for risk-neutral densities estimation.. In: Simposium Kebangsaan Sains Matematik Ke 24
2014 Minimal spanning tree for 100 companies in Bursa Malaysia. In: The 2nd ISM International Statistical Conference 2014 with Applications in Sciences and Engineering (ISM-II)
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)
2014 Estimation of transaction costs on Bursa Malaysia = Anggaran kos urus niaga di Bursa Malaysia. In: The 2nd National Symposium on Mathematical Sciences (SKSM22)
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)
2014 Implied adjusted volatility by leland option pricing models: evidence from Australian index options . In: International Conference on Applied Mathematics (ICAM 2014)
2014 An investigation of implied volatility during financial crisis: evidence from Australian index options. In: The 3rd International Conference on Fundamental and Applied Sciences
2013 Alternative method to estimate transaction costs: An empirical investigation pre-, during and post- financial crisis. In: International Islamic University Malaysia Research, Invention and Innovation Exhibition 2013 (IRIIE 2013)
2012 Performance of selected imputation techniques for missing variances in meta-analysis . In: 4th International Conference on Advancement of Science and Technology
2012 A new approach to estimate transaction costs: an empirical evidence. In: International Islamic University Malaysia Research, Invention and Innovation Exhibition 2012 (IRIIE 2012)
2011 Implied transaction costs by leland option pricing models: A new approach and empirical evidence. In: 2011 Accounting and Finance Association of Australia and New Zealand (AFAANZ) Conference
2010 Trading frequency and implied transaction costs of options: evidence from the Australian index option market. In: International Conference on Business and Economics Research (ICBER)
2010 The performance of Leland's option pricing models in the presence of transaction costs: evidence from the Australian index option market. In: The 18th Annual Conference on Pacific Basin Finance, Economics, Accounting and Management
2009 Assessing the importance of transaction costs in option pricing: evidence from the Australian index option market. In: 15th International Conference Computing in Economics and Finance
2006 Missing variability in meta-analysis : is imputing always good?. In: International Conference on Science & Technology: Application in Industry & Education (2006)

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