Prof Kostya BOROVKOV
Professor
School of Mathematics and Statistics
- Room: 225
- Building: Peter Hall Building
- Campus: Parkville
Research Groups
Publications, Grants and Awards
You can find all publications, grants and awards on their Find an Expert page.
Current Postgraduate Supervision
Name | Thesis title |
---|---|
Aaron CHONG | |
Vincent LIANG | |
Duy Phat NGUYEN |
Past Postgraduate Supervision
Name | Thesis title |
---|---|
Geoffrey DECROUEZ | "Generation of multifractal signals with underlying branching structure" |
Andrew DOWNES | "Boundary Crossing Probabilities for Diffusion Processes and Related Problems" |
Matthieu GILSON | "Learning in biological-like neural networks" |
Shaun MCKINLAY | "On Limiting Distributions, Sojourn Measures and Boundary Crossings for Random Processes. " |
Yuqing PAN | "The exact asymptotics of large deviation probabilities in the multivariate boundary crossing problem" |
Past Honours & MSc Students
Name | Project title |
---|---|
Jonathan BRAILEY | "No-Arbitrage Positive Interest Rate Models " |
Yunshun CHEN | |
David EAGLE | "Partial Hedges of Options: Estimation of Price and Default Risk under Stochastic Volatility" |
Patrick HE | "A Theory of Records in the Threshold F Scheme" |
Gary KATSELAS | "Pricing Defaultable Bonds under a Marked Point Process Model for Interest Rates" |
Jason LEUNG | "Detecting Jumps in Stochastic Processes" |
Vincent LIANG | "Refinements of Markov chain methods for computing boundary crossing probabilities" |
Sheng LIN | "On the effect of risky investments on the ruin probabilities of insurance companies" |
Shaun MCKINLAY | "Markov-Modulated Models for Derivatives Pricing" |
Stephen MUIRHEAD | "Financial Geometry: Pricing multi-asset barrier options using the generalised reflection principle" |
Duy Phat NGUYEN | "Parisian Ruin With Random Deficit-Dependent Window Length" |
Quang Tuyen PHAM | "Ruin Probability in the presence of Delayed Claims" |
Liam PORTER | "On the asymptomatic behaviour of Polya urn models" |
Stefan RAMPERTSHAMMER | "An Ornstein-Uhlenbeck Framework for Pairs Trading" |
Timothy RICE | "Branching Processes in Epidemiology" |
Ajay SINGH | "Multivariate Default Model with Spread and Event Risks -Review and Extension" |
Justin SMALLWOOD | "Limit Order Book Modelling" |
Jakub STOKLOSA | "Barrier Options and their Sensitivities" |
Jingyi ZHANG | "On the Local Limiting Behaviour of Some Growing Point Processes" |
Responsibilities
- Stochastic Processes Representative