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EM/ProfAlex Novikov

Emeritus Professor

School of Mathematical and Physical Sciences

Orcid identifier0000-0001-8529-173X (opens in a new tab)⁠
  • Emeritus Professor
    School of Mathematical and Physical Sciences
  • University of Technology, Sydney, School of Mathematical Sciences, Sydney, NSW, 2046, Australia
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FUNDED RESEARCH

My current research interests are in stochastic analysis, mathematical finance and statistics of random processes.Particular areas of interest include option pricing, change-point analysis, boundary crossing probabilities, Monte Carlo methods, long memory processes, goodness-of-fit test.

FUNDED RESEARCH

  • SCHOLARSHIP
    Superannuation and Retirement Planning Modelling
    University of Technology Sydney24 Mar 2014 - 23 Mar 2018
    People funded by this grant:
    • Novikov A,
    • Andreasson J
    University of Technology, Sydney - (14/00862) superannuation, economic development, bond market, simulation model, retirement planning, management.
  • SCHOLARSHIP
    Pricing of multiple exercise options in high dimensions - CSIRO Scholarship
    Commonwealth Scientific and Industrial Research Organisation11 Feb 2014 - 10 Feb 2015
    People funded by this grant:
    • Chiarella C,
    • Novikov A,
    • Yap SG,
    • Hinz J
    Commonwealth Scientific & Industrial Research Organisation
  • CONTRACT RESEARCH
    Managing Financial Risks for Small Hydropower Generation
    Waratah Power Pty Ltd6 Dec 2013 - 15 Mar 2014
    People funded by this grant:
    • Novikov A,
    • Radchik A
    Waratah Power Pty Ltd Partnership Hydropower portfolios, Financial Risk, Real options, Virtual Generator
  • GRANT
    Risk assessment of climate change mitigation measures
    Australian Research Council1 Jan 2013 - 31 Dec 2017
    People funded by this grant:
    ARC Discovery Projects - (DP130103315)
  • GRANT
    Risk assessment of climate change mitigation measures
    Australian Research Council1 Jan 2013 - 31 Dec 2016
    People funded by this grant:
    • Novikov A
    ARC Discovery Projects - (DP130103315)
  • CONTRACT RESEARCH
    Pricing, Calibration and Hedging of Options on Volume Weighted Average Prices
    Commonwealth Scientific and Industrial Research Organisation16 Jul 2012 - 10 Jan 2013
    People funded by this grant:
    • Novikov A,
    • Dong L
    Commonwealth Scientific & Industrial Research Organisation
  • CONTRACT RESEARCH
    PDE/PIDE Approaches for Pricing and Hedging of Options Involving Several Stochastic Factors
    NATIONAL AUSTRALIA BANK LIMITED1 Jul 2012 - 30 Jun 2016
    People funded by this grant:
    • Novikov A,
    • Alexander S
    National Australian Bank Limited
  • CONTRACT RESEARCH
    Integrated Market Surveillance System (IMSS) - Student: Kevin Lu
    AUSTRALIAN SECURITIES & INVESTMENTS COMMISSION1 Apr 2012 - 31 May 2017
    People funded by this grant:
    • Novikov A,
    • Lu K
    ASIC Partnership Fund
  • GRANT
    Random network models with applications in biology
    Australian Research Council3 Jan 2012 - 31 Dec 2014
    People funded by this grant:
    • Novikov A
    ARC Discovery Projects - (DP120102398)
  • CONTRACT RESEARCH
    Pricing & Risk Management for High Frequency Cyclical Commodity Motels
    TRADING TECHNOLOGY AUSTRALIA PTY LTD1 Jan 2012 - 31 Dec 2015
    People funded by this grant:
    • Novikov A,
    • Maisano J
    Trading Technology Australia Partnership Fund
  • GRANT
    Boundary Crossing Analysis for Random Processes with Applications to Risk Management
    Australian Research Council1 Feb 2008 - 30 Dec 2011
    People funded by this grant:
    ARC Discovery Projects - (DP0880693) stochastic boundary functionals, environmental and financial risk, superannuation schemes, changepoint analysis, stochastic differential equations, Markov processes,
  • GRANT
    A New Integrated Approach to Managing Risk in Financial Markets
    Australian Research Council10 Feb 2005 - 30 Aug 2008
    People funded by this grant:
    ARC Discovery Projects - (DP0559879) Integrated risk management, Financial mathematics, Financial market modelling, Incomplete markets, Long term derivative pricing, Stochastic differential equations,
  • GRANT
    A New Approach to Managing Risk in Financial Markets
    University of Technology Sydney1 Jan 2004 - 31 Dec 2005
    People funded by this grant:
    UTS Incentive Research Grants starting pre 2001 - (UTSINCENT) Risk management Stochastic differential equations Incomplete markets Valuation Hedging Calibration
  • GRANT
    Analysis of boundary functionals of stochastic processes
    University of Technology Sydney1 Jan 2004 - 31 Dec 2005
    People funded by this grant:
    • Novikov A
    UTS Research Excellence grants starting 2004 (UTSREG) - (UTSREG04)
  • GRANT
    Modelling of financial instruments with Levy processes: theory, implementation and robustness
    University of Technology Sydney1 Jan 2003 - 31 Dec 2003
    People funded by this grant:
    • Novikov A,
    • Buchen P
    UTS Incentive Research Grants starting pre 2001 - (UTSINCENT) Mathematical finance Option pricing Risk management Robustness Computational modelling Term structure
  • GRANT
    Probabilistic Modelling of Load and Deterioration Processes in Structural Reliability
    Australian Research Council1 Jan 2001 - 31 Dec 2003
    People funded by this grant:
    • Novikov A,
    • Melchers R
    ARC Large Grant - (A00104742)