Research Groups
Publications, Grants and Awards
You can find all publications, grants and awards on their Find an Expert page.
Find an Expert
Current Postgraduate Supervision
| Name |
Thesis title |
| Aaron CHONG |
|
| Vincent LIANG |
|
| Haokai XIE |
|
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 |
"From sojourn times and boundary crossings to iterated random functions" |
| Duy Phat NGUYEN |
"Parisian Ruin with Random Delays for Spectrally Negative Levy Processes" |
| Yuqing PAN |
"The exact asymptotics of large deviation probabilities in the multivariate boundary crossing problem" |
Current MSc Students
| Name |
Project title |
| JUNQI TANG |
|
| Zheng ZOU |
|
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 |
"Re finements 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" |
| Haokai XIE |
"What one can recover from the order of a random process' increments" |
| Jingyi ZHANG |
"On the Local Limiting Behaviour of Some Growing Point Processes" |
Responsibilities
- Stochastic Processes Representative
Committees
- Academic Staff Advisory Group
- Bachelor of BCom Standing Committee
- Bachelor of Commerce Course Standing Committee
- Postgraduate Programs Committee
- Research Competition Committee