Contact
School of Finance and Applied Statistics
Crisp Building 026
Australian National University
ACT 0200 Australia
Webpage

Professor Ross A. Maller

Position Held

Professor of Mathematical Finance, Schools of Mathematics, and Finance & Applied Statistics, Australian National University.

Prizes and Honours

G. W. Snedecor Prize, 1984 (American Statistical Association).

Employment

2003- Professor of Mathematical Finance, Australian National University .
1999 - June 2003, Professor of Quantitative Finance, Dept. of Accounting & Finance, University of WA.
1998 -1999, Professorial Research Fellow, Univ of Manchester, UK.
1988-1999, Associate Professor, Dept. of Mathematics & Statistics, University of WA.
1968-1988, Principal Research Scientist, CSIRO Division of Mathematics & Statistics.

Graduate Students

PhD (5), Hons/Dip. (20).

Research Interests

Quantitative Finance, Options, Portfolio Analysis, Random Walks, Stochastic Processes, Statistics, Probability, Stochastic Calculus in Finance.

Selected Research Grants

2002-2004 ARC Discovery Grant (with C. Klueppelberg): Stochastic Analysis with a View to Applications in Financial Risk Processes ($175,000).
1998-2000 ARC Large Grant (with I.R. James): Analysis of Multivariate Survival Data. ($156,000).
2003, 1999, 1996, 1994, 1990: UWA Dist. Visitor Research Grants (C. Klueppelbergx2, C. Goldie, H. Kestenx2, c. $2000 ea)
2001, 1998, 1995: Visiting Fellow, EPSRC Grant (to Profs. R. Doney, Prof. Goldie) (c. $AUS 83,000, $20,000, $8000).
1996 Senior Research Fellow, Hong Kong Polytechnic U. Res. Grant to Prof. X. Zhou ($AUS18,000).
1995 Senior Investigator, WA Ministry of Justice Grant to Prof. R. Harding, Crime Research Centre, UWA, 1996 ($157,000).
1995-1996, 1992-1993, 1990-1991, 1988-1989, 1983-1984: Criminology Research Council Grants (with R. Harding, R. Broadhurst ($38,387, $19,000, $54,929, $28,901, $21,500).
1995, 1992: Cornell U. Math. Dept. Visitor's Grants ($US2,000, $US1000).

Professional Activities

Reviewer, ARC grant applications in Prob., Statistics & Finance. Reviewer, Math. Reviews & Z. Mathematik. Referee for major Prob. & Statistics journals. Referee for US tenure & promotion cases, & for US NSF grant applications.
Ass. Ed., J. Aust. Math. Soc. (1993-1995, 1996- 1998). Ass. Ed., J. Quant. Crim. (1997+). Ass.
Ed., Appl. Stoch. Models in Business & Industry (2003+).

Industry Experience

Various consulting & collaborative projects in the
Finance & Statistics areas, 1980-2003.

Selected Recent Publications

  • Ruin Probabilities & Overshoots for General Levy Insurance Risk Processes (with C. Klueppelberg & A. Kyprianou), submitted.
  • Regression with Stationary, Unit Root or Explosive Autoregressive errors. Stoch. Proc. Appl., (2003).
  • A Best Choice Among Asset Pricing Models? The Conditional CAPM in Australia (with N. Durack & R. Durand), submitted.
  • Testing for mean reversion,etc. (with A. Szimayer). Statist. Inf. for Stoch. Proc., (2003), to appear.
  • Testing for reduction to random walk in ARCH models (with C. Klueppelberg, M.Van De Vyver & D. Wee) Econometrics Journal, 5, (2002), 387-416.
  • New light on the portfolio allocation problem (with D. A. Turkington) Math. Meth. Oper. Res., 56 (2002), 501-511.
  • How might companies value ESOs? (with R. Tan & M. Van De Vyver, Aust. Acc. Rev., (2002).
  • Stability of perpetuities (with C. M. Goldie) Ann. Prob., 28, (2000), 1195-1218.
  • Survival Analysis with Long-term Survivors (with Xian Zhou), Wiley, 1996.
  • Estimating the expected number of events in a process (with L. Sun and X. Zhou), J. Amer.
    Statist. Assoc., (2002).
  • Analysis of parametric models for competing risks (with X. Zhou), Stat. Sinica, 12 (2002), 725-750.
  • Stability and attraction to normality for Levy processes at Zero and at Infinity (with R. A. Doney) J. Theoret. Prob., 15, (2002).
  • Stability of the overshoot for Levy processes (with R. A. Doney), Ann. Prob., 30, (2002), 188--21
  • Random walks crossing curved boundaries (with R. A. Doney), Adv. Appl. Prob., 32, (2000), 1117-1149.
  • Stability and other limit laws for exit times of random walks from a strip or a halfplane. (with H. Kesten) Ann. Inst. Henri Poincare, 35, (1999), 685-734.
  • Dominance of the sum over the maximum and some new classes of stochastic compactness (with P. S. Griffin), Invited Paper, In: Perplexing Problems in Probability, Festschrift in Honor of Harry Kesten, Bramson and Durrett Eds, Progress in Probability 44, (Birkhauser Boston, 1999), 219- 246.