# Professor Alex Novikov

### Biography

Alexander Novikov is Professor of Mathematics at the Department of Mathematical 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

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

**Core Member,**Quantitative Finance Research Centre

**Phone**

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**Room**

### 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.

**Can supervise:**Yes

Current Teaching:

Stochastic Processes (35361)

Stochastic Calculus in Finance (35365)

Advanced Stochastic Processes (35466)

Past Teaching:

Time Series

Regression Analysis

Mathematical Statistics

Probability Theory

Survival Analysis

## Book Chapters

*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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## Conference Papers

*Workshop on Mathematical Control Theory and Finance*, ed Guerra, A., Instituto Superior de Economia e Gest+o, Lisbon.

*International Mathematica Symposium 2005*, ed Abbott, P; McCarthy, S, Wolfram Research, Australia, pp. 1-11.

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*Applications of Statistics and Probability*, ed R.E. Melchers, M.G. Stewart, A.A. Balkeme,, Netherlands, pp. 35-43.

## Journal Articles

*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*, 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.

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*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.

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

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

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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. 80, no. 2-3, pp. 197-210.

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

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

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## Other research activity

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

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**Selected Peer-Assessed Projects**