# Professor Alex Novikov

### Biography

Alexander Novikov is Professor of Mathematics at the School of Mathematical and Pfysical Sciences, UTS.

Prior to this appointment in 1999 he was Leading Research Fellow at the Steklov Mathematical Institute (Moscow, since 1970) and Senior Lecture at the University of Newcastle (Australia, from 1996 to 1999).

He received a PhD in Mathematics in 1972 and his Doctor of Science degree in 1982, both from the Steklov Mathematical Institute. He has published more than 90 research papers in different areas of stochastic processes, statistics of random processes, sequential analysis, random fields and mathematical finance. He has also been invited to more than 80 visiting appointments at leading mathematical institutions.

### Professional

Bernoulli Society

,Steklov Mathematical Institute

,**Professor of Mathematics,**School of Mathematical and Physical Sciences

**Core Member,**QFRC - Quantitative Finance

**Phone**

### Research Interests

My current research interests are in stochastic analysis, mathematical finance and statistics of random processes.

Particular areas of interest include option pricing, credit risk modelling, change-point analysis, boundary crossing probabilities, Monte Carlo methods, long memory processes, goodness-of-fit test.

**Can supervise:**Yes

Current Teaching:

Stochastic Processes (37363)

Probability Theory and Stochastic Calculus in Finance (25875)

Advanced Stochastic Processes (37464)

Past Teaching:

Time Series

Regression Analysis

Mathematical Statistics

Probability Theory

Survival Analysis

## Chapters

*Inspired by Finance*, Springer Cham Heidelberg New York Dordrecht London, London, pp. 461-474.

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*Mathematical and Statistical Methods for Actuarial Sciences and Finance*, Springer-Verlag Italia, Milano, pp. 245-253.

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*Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen*, Springer, Germany, pp. 335-368.

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*Mathematical Control Theory and Finance*, Springer, Berlin, pp. 251-263.

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*From Stochastic Calculus to Mathematical Finance*, Springer, Heidelberg, Germany, pp. 421-432.

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## Conferences

*Mathematical and Statistical Methods for Actuarial Sciences and Finance*, pp. 245-253.

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*Quantitative Mathematical Finance*, Quantitative Mathematical Finance, Springer, Sydney, Australia, pp. 1-410.

*Workshop on Mathematical Control Theory and Finance*, Workshop on Mathematical Control Theory and Finance, Instituto Superior de Economia e GestÃ£o, Lisbon, Portugal.

*International Mathematica Symposium 2005*, International Mathematic Symposium, Wolfram Research, Perth, Australia, pp. 1-11.

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*Applications of Statistics and Probability*, A.A. Balkeme,, Sydney, Australia, pp. 35-43.

*Proceedings of the International Mathematica Symposium*, pp. 369-376.

*Digest of Technical Papers-IEEE International Pulsed Power Conference*, pp. 862-867.

## Journal articles

*Stochastics*, pp. 1-17.

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*ANZIAM Journal*.

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*ANZIAM Journal*, vol. 57, no. 3, pp. 205-206.

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*Statistics and Computing*, pp. 1-11.

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*Proceedings of the Steklov Institute of Mathematics*, vol. 287, no. 1, pp. 225-231.

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*Theory of Probability & Its Applications*, vol. 58, no. 4, pp. 601-614.

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*Sequential Analysis*, vol. 33, no. 2, pp. 182-185.

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*Statistics & Probability Letters*, vol. 83, pp. 1260-1261.

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*Theory of Probability and its Applications*, vol. 57, no. 3, pp. 521-529.

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*Sequential Analysis: Design Methods and Applications*, vol. 32, no. 3, pp. 288-296.

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*Solar Energy*, vol. 98, no. Part B, pp. 167-179.

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*Sequential Analysis*, vol. 30, no. 1, pp. 79-93.

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*Bernoulli journal*, vol. 16, no. 4, pp. 1240-1261.

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*Sequential Analysis*, vol. 29, no. 2, pp. 107-111.

*Sequential Analysis*, vol. 29, no. 4, pp. 439-443.

*East-West Journal of Mathematics*, vol. special, no. 1, pp. 253-265.

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*Teoriya Veroyatnostei i ee Primeneniya*, vol. 53, no. 3, pp. 459-471.

*Statistics and Decision*, vol. 26, no. 4, pp. 289-302.

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*Theory of Probability and its Applications*, vol. 53, no. 3, pp. 419-429.

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*Stochastics. An International Journal of Probability and Stochastic Processes*, vol. 80, no. 2-3, pp. 197-210.

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*Statistics & Probability Letters*, vol. 78, no. 12, pp. 1517-1525.

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*Applied Mathematical Finance*, vol. 15, no. 2, pp. 183-203.

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*Stochastics. An International Journal of Probability and Stochastic Processes*, vol. 79, no. 3-4, pp. 393-406.

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*The Mathematica Journal*, vol. 10, no. 3, pp. 489-500.

*KMITL Science Journal*, vol. 6, no. 2a, pp. 373-380.

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*Journal Of Applied Probability*, vol. 42, no. 1, pp. 82-92.

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*Theory of Probability and its Applications*, vol. 49, no. 2, pp. 344-354.

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*Probabilistic Engineering Mechanics*, vol. 20, no. 1, pp. 57-65.

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*Theory of Probability and its Applications*, vol. 48, no. 2, pp. 288-303.

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*Theory of Probability and its Applications*, vol. 48, no. 2, pp. 340-358.

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*Georgian Mathematical Journal*, vol. 10, no. 2, pp. 325-334.

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*Journal of Applied Probability*, vol. 39, no. N/A, pp. 889-895.

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*Proceedings of the Stekov Institute of Mathematics*, vol. 237, no. 2, pp. 185-200.

*Journal of Applied Probability*, vol. 39, no. 4, pp. 889-895.

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*Statistics & Probability Letters*, vol. 53, pp. 421-428.

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*Journal of Applied Probability*, vol. 36, no. 4, pp. 1019-1030.

*Theory of Probability and its Applications*, vol. 44, no. 3, pp. 591-605.

*Statistics and Probability Letters*, vol. 44, no. 1, pp. 47-54.

*Theory of Probability and its Applications*, vol. 43, no. 1, pp. 135-144.

*Russian Physics Journal*, vol. 40, no. 12, pp. 1125-1134.

*Theory of Probability and its Applications*, vol. 41, no. 4, pp. 716-729.

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*Metrika*, vol. 42, no. 1, pp. 153-171.

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*Mathematical Notes of the Academy of Sciences of the USSR*, vol. 35, no. 3, pp. 241-249.

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*Mathematical Notes of the Academy of Sciences of the USSR*, vol. 29, no. 2, pp. 150-155.

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*Radiophysics and Quantum Electronics*, vol. 22, no. 1, pp. 47-50.

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*Telecommunications and Radio Engineering (English translation of Elektrosvyaz and Radiotekhnika)*, vol. 32-33, no. 8, pp. 40-44.

*Radiophysics and Quantum Electronics*, vol. 21, no. 6, pp. 643-645.

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*Radiophysics and Quantum Electronics*, vol. 19, no. 2, pp. 225-227.

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*Mathematical Notes of the Academy of Sciences of the USSR*, vol. 12, no. 5, pp. 812-818.

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## Other

*Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney*.

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**Selected Peer-Assessed Projects**