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Professor Kostya BOROVKOV
Position: Professor
Email: K.Borovkov@ms.unimelb.edu.au
Room: 225
Ext. Number: 47992
Webpage: www.ms.unimelb.edu.au/~kostya
Research Group:- Stochastic Processes
Recent Publications:
Selected Publications | Publications RSS Feed
  • On exit times of Levy-driven Ornstein-Uhlenbeck processes(2008) more
  • On level crossings for a general class of piecewise-deterministic Markov processes(2008) more
  • First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes(2008) more
  • On the ruin time distribution for a Sparre Andersen process wiht exponential claim sizes(2008) more
  • Asymptotic Analysis of Random Walks: Heavy-tailed distributions(2008) more

Current Postgraduate Supervision:

Sen TAN "On modelling of the timing of defaults in CDO rating"
Matthieu GILSON "Learning in biological-like neural networks"

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"

Current Honours Students:

Shaun MCKINLAY
Yunshun CHEN
Galina DARAGANOVA

Recent Honours 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"
Jonathan BRAILEY "No-Arbitrage Positive Interest Rate Models "
Timothy RICE "Branching Processes in Epidemiology"

Subject(s) Currently Teaching:

620-302 Chance and Options Pricing (Semester 2, 2009)
620-624 Stochastic Processes (Semester 2, 2009)

Recent Grant History:

Year(s) Source Type Title
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:

Chair of Honours-Masters Committee
Faculty Postgraduate Programs Committee member
General Advisor (all years)
MASCOS Seminar Coordinator

Committees:

Honours and Masters Committee (Chair)
Management Committee
Strategic Planning Committee
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