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.

Find an Expert

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 "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"
Jingyi ZHANG "On the Local Limiting Behaviour of Some Growing Point Processes"

Recent Grant History

Year(s) Source Type Title
2015 - 2017 ARC Discovery New Approaches to Modelling and Analysing Long-Memory Random Processes
2012 - 2014 ARC Discovery Random network models with applications in biology

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