Professor KOSTYA BOROVKOV

Position:
Professor
Room:
225
Ext. Number:
47992
Research Groups:
Recent Publications:
  • A refined version of the integro-local Stone theorem (2017) more
  • Approximating the equilibrium quantity traded and welfare in large markets (2017) more
  • ON EXPLICIT FORM OF THE STATIONARY DISTRIBUTIONS FOR A CLASS OF BOUNDED MARKOV CHAINS (2016) more
  • Bounds for expected maxima of Gaussian processes and their discrete approximations (2015) more
  • ON APPROXIMATION RATES FOR BOUNDARY CROSSING PROBABILITIES FOR THE MULTIVARIATE BROWNIAN MOTION PROCESS (2015) more

Selected Publications


Current Postgraduate Supervision:
Aaron CHONG
Yuqing PAN "Boundary crossing problem of different types of Random processes Hitting Remote Sets."
Past Postgraduate Supervision:
Geoffrey DECROUEZ "Generation of multifractal signals with underlying branching structure"
Andrew N 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. "
Current MSc Students:
Past MSc Students:
David EAGLE "Partial Hedges of Options: Estimation of Price and Default Risk under Stochastic Volatility"
Stefan RAMPERTSHAMMER "An Ornstein-Uhlenbeck Framework for Pairs Trading"
Jakub STOKLOSA "Barrier Options and their Sensitivities"
Shaun MCKINLAY
Jonathan BRAILEY "No-Arbitrage Positive Interest Rate Models "
Timothy RICE "Branching Processes in Epidemiology"
Yunshun CHEN
Sheng LIN
Gary KATSELAS
Jason LEUNG
Stephen MUIRHEAD
Ajay SINGH
Quang Tuyen PHAM
Subject(s) Currently Teaching:
MAST30020 (620-323) Probability and Statistical Inference (Semester 1, 2017)
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
2003 - 2010 ARC Centre Of Excellence ARC Centre of Excellence for Mathematics and Statistics of Complex Systems
2008 - 2010 ARC Discovery Boundary crossing analysis for random processes with applications to risk project management
Responsibilities:
Academic Board member
Course advisors - Upper Undergraduate
MSc and Pgrad Diploma Course advisor
University Handbook Entries
Committees:
Bachelor of BCom Standing Committee (Member)
Bachelor of Commerce Course Standing Committee (Member)
Postgraduate Programs Committee
Strategic Planning Committee