Professor Alex Novikov (University of Technology, Sydney)

MIMS Distinguished Visitor May 2010 & January 2011

Overview

Professor of Mathematics, Department of Mathematical Sciences, University of Technology, Sydney.

Appointments:

Selected Publications:

1. J. Hinz, A. Novikov, `On fair pricing of emission-related derivatives', Bernoulli (forthcoming), available online November 2009 (http://isi.cbs.nl/bernoulli/future.htm).
2. Borovkov, K. & Novikov, A. 2008, `On exit times of Levy-driven Ornstein-Uhlenbeck processes', Statistics and Probability Letters, vol. 78, no. 12, pp. 1517-1525.
3. Novikov, A. & Kordzakhia, N. 2008, `Martingales and first passage times of AR(1) sequences', Stochastics, vol. 80, no. 2-3, pp.197-210.
4. Schmidt, T. & Novikov, A. 2008, `A Structural Model with Unobserved Default Boundary', Applied Mathematical Finance, vol. 15, no. 2, pp. 183-203.
5. Kordzakhia, N. & Novikov, A. 2008, `Pricing of Defaultable Securities under Stochastic Interest', in Sarychev, A; Shiryaev, A; Guerra, M; Grossinho, M (eds), Mathematical Control Theory and Finance, Springer, Berlin, pp. 251-263.
6. Novikov, A. & Shiryaev, A.N. 2007, `On solution of the optimal stopping problem for processes with independent increments', Stochastics, vol. 79, no. 3-4, pp. 393-406.
7. Lipster, R. & Novikov, A. 2006, `Tail distributions of supremum and quadratic variation of local Martingales', in Kabanov Y; Lipster R; Stoyanov J (eds), From Stochastic Calculus to Mathematical Finance, Springer, Heidelberg, pp. 421-432.
8. Sukparungsee, S. & Novikov, A. 2006, `On EWMA procedure for detection of a change in observation via Martingale approach', KMITL Science Journal, vol. 6, no. 2a, pp. 373-380.
9. Borovkov, K. & Novikov, A. 2005, `Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process', Journal of Applied Probability, vol. 42, no. 1, pp. 82-92.
10. Novikov, A., Melchers, R., Shinjikashvili, E. & Kordzakhia, N. 2005, `First passage time of filtered Poisson process with exponential shape function', Probabilistic Engineering Mechanics, vol. 20, no. 1, pp. 57-65.

Research while at MIMS

• Prof Novikov will be studying Optimal Stopping Problems during his time at the University.

Seminars while at MIMS

• TBA

Contact details while at MIMS

• Office 1.216

Further information