# 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**

**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.

View/Download from: Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress

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

View/Download from: UTSePress

## 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.

View/Download from: UTSePress | Publisher's site

*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.

View/Download from: Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress

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

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

View/Download from: Publisher's site

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

View/Download from: UTSePress

*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.

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

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

View/Download from: UTSePress

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress | Publisher's site

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

View/Download from: UTSePress

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

View/Download from: UTSePress

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

View/Download from: UTSePress

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

View/Download from: UTSePress | Publisher's site

## Other research activity

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

View/Download

**Selected Peer-Assessed Projects**