Personnel : Department of Mathematics and Statistics : University of Melbourne

.: Academic Continuing(Teaching & Research)

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

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

Geoffrey DECROUEZ	"Generation of multifractal signals with underlying branching structure"
Andrew N DOWNES	"Boundary Crossing Probabilities for Diffusion Processes and Related Problems"

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"

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

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

Chair of Honours-Masters Committee

Faculty Postgraduate Programs Committee member

General Advisor (all years)

MASCOS Seminar Coordinator

Honours and Masters Committee (Chair)

Management Committee

Strategic Planning Committee

Faculty of Science Department of Mathematics and Statistics