Welcome to the Users/BudhiSurya web
- Levy process and its exit problems
- optimal stopping and free-boundary problems
- free-boundary and its numerical computation
- stochastic control and nonlinear filtering
- financial stochastics and mathematics
Professional Work Experiences
After the completion of my PhD from Utrecht University in January 2007, I worked for nearly three years as (AVP) in quantitative financial analyst (Quant.) for Bank of America Corp., based mainly in Singapore, with direct reporting line to the Quantitative Risk Management Group Head in the BofA Head Quarter (HQ) in Charlotte, North Carolina, USA. Got H1B Visa for job promotion to Bank of America Corp. HQ in July 2008. Arriving at Victoria University of Wellington in February 2015.
Theses and Dissertation
Published and Submitted Papers
I am interested in applying methods from applied probability, stochastic processes as well as numerical computation to solve some applied problems.
- B.A. Surya . (2017). Conditional Phase-Type Distribution of Doubly Stochastic Jump Markov Processes. Submitted for publication.
- B.A. Surya . (2017). Parisian Ruin and Resolvent Density of Terminating Spectrally Negative Levy Process Before First-Passsage Above a Level. Working Paper .
- B.A. Surya. (2017). Competing Risks Under Markov Mixtures Model. Submitted for publication. (Further calculations on competing risks)
- C. Kuhn, B. A. Surya and B. Ulbricht. (2017). Optimal Selling Time of a Stock Under Capital Gains Taxes, Submitted for publication.
- B.A. Surya. (2018). Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process. Accepted for the 2017 MATRIX Annals Springer book chapter.
- R. Loeffen, Z. Palmowski and B. A. Surya. (2017). Discounted Penalty at Parisian Ruin for Levy Insurance Risk Process. Insurance : Mathematics and Economics
- B.A. Surya . (2017). Distributional Properties of the Mixture of Continuous-Time Absorbing Markov Chains Moving at Different Speeds. Stochastic Systems - INFORMS Journal
- E. J. Baurdoux, N. Chen, B. A. Surya and K. Yamazaki. (2015). Optimal Double Stopping of A Brownian Bridge, Advances in Applied Probability 47, 1212-1234.
- B. A. Surya and R. Kurniawan. (2014). Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution, Asia-Pacific Financial Markets, 21, 193-236.
- B. A. Surya and K. Yamazaki. (2014). Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models, International Journal of Theoretical and Applied Finance, 17, 1450013.
- B. A. Surya. (2011). Two-dimensional Hull-White Model for Stochastic Volatility and its Nonlinear Filtering Estimation, Procedia of Computer Science, 4, 1431-1440.
- B. A. Surya. (2008). Evaluating Scale Functions of Spectrally Negative Levy Processes, Journal of Applied Probability, 45, 135-149.
- B. A. Surya. (2007). An Approach for Solving Perpetual Optimal Stopping Driven by Levy Processes, Stochastics: An International Journal of Probability and Stochastic Processes, 79, 337-361.
- A. E. Kyprianou and B. A. Surya. (2007). Principles of Smooth and Continuous Fit in the Determination of Endogenous Bankruptcy Levels, Finance and Stochastics, 11, 131-152.
- A. E. Kyprianou and B. A. Surya. (2007). A Note on the Change of Variable Formula with Local Time-Space for Bounded Variation Levy Processes, Seminaire de Probabilite XL, 1899, 97-104.
- A. E. Kyprianou and B. A. Surya. (2005). On the Novikov-Shiryaev Optimal Stopping Problem in Continuous Time, Electronic Communications in Probability, 10, 146-154.
Recent Seminar Talks:
Talk and Visiting Invitations
- 20-23 February 2018, Visiting and Giving a talk, Department of Statistics, London School of Economics, hosted by A/P Erik Baurdoux and Prof Angelos Dassios
- 11-20 February 2018, Research Visit and giving a talk to Wroclaw University of Science and Technology, hosted by Professor Zbigniew Palmowski
- 4-6 December 2017, Inivited Talk, Sixth Wellington Workshop in Probability and Mathematical Statistics, Victoria University of Wellington
- 19-26 November 2017, Invited Participant, MATRIX Workshop organized by University of Melbourne, hosted by Professor Kostya Borovkov and Professor Alex Novikov
- 22-24 March 2017, Invited Talk, by Professor Vijay Nair, The ISI Regional Statistics Conference (RSC) 2017 organized by International Statistical Institute, tobe held in Bali, Indonesia.
- 9-13 January 2017, Invited Talk, The 5th NUS Workshop on Risk and Regulation, Singapore, hosted by Professor Steven Kou.
- 6-7 June 2016. Invited Talk, Chinese Academy of Sciences and China University of Mining and Technology, Beijing, China.
- 27 November 2015, Invited Talk, Department of Econometrics and Business Statistics, Monash University, Melbourne. Host: Professor Colin O'hare.
- 26 November 2015, Invited Talk, RSFAS Seminar Series, College of Business and Economics, The Australian National University, Canberra, hosted by Professor Ross Maller.
- 6 - 8 July 2015, Invited Talk, The Third Asian Quantitative Finance Conference, Chinese University of Hong Kong, hosted by Professor Nan Chen.
- 1-25 May 2014, Visiting Scholar, hosted by Professor Karl Sigman, Department of Industrial Engineering and Operations Research, Columbia University, USA.
- 11-13 November 2013, Visiting Scholar, hosted by Professor Rez Kabir, Department of Business Administration, University of Twente, the Netherlands.
- 31 October 2013, Invited Talk, Frankfurt MathFinance Colloquium, House of Finance - Room Deutsche Bank, Goethe University of Frankfurt, Germany.
- 23 – 27 October 2013, Invited Talk and Visiting Scholar, hosted by Dr. Erik J. Baurdoux, Risk and Stochastic Group, London School of Economics, UK.
- 25 October 2013, Visiting Scholar, hosted by Professor Andreas Kyprianou, Department of Mathematical Sciences, University of Bath, UK.
- 1 October – 30 November 2013, DAAD Visiting Scholar, hosted by Professor Christoph Kuhn, Frankfurt MathFinance Institute, Goethe University of Frankfurt.
- 5 – 12 December 2012, Visiting Scholar, hosted by Professor Sheu Yuan-Chung, Center of Mathematical Modeling and Scientific Computing, National Chiao Tung University, Hsinchu, Taiwan.
- 7 – 9 December 2012, Invited Speaker, Mathematical Conference and Annual Meeting of the Taiwan Mathematical Society, National Chiao Tung University.
- 7 September 2012, Invited Speaker, Topics in Levy and Jump Processes, Center for Finance and Insurance of Osaka University, Japan. Host: Dr. Kazutoshi Yamazaki.
- 2 – 5 September 2012, Invited Speaker, International Workshop on Mathematical Finance and Related Issues, Kyoto Research Park, Kyoto, Japan.
- 8 – 9 March 2012, Invited Speaker, International Workshop on Stochastic Processes and Applications, National Center for Theoretical Sciences, National Tsing Hua University, Hsinchu, Taiwan.
- 1 - 3 December 2008, Invited Talk, 2008 International Conference on Applied Probability and Statistics (CAPS 2008), Hanoi, Vietnam. Invited by Professor Vijay Nair, University of Michigan, Ann Arbor, USA.
- CSIRO PhD Research Grants jointly with Prof. Colin O'hare, Monash University, Melbourne, Australia
- Victoria University PBRF Research Grants : NZD 7,000
- The German Academic Exchange Service (DAAD) for two months: 1 October - 30 November 2013 spent at the Goethe University of Frankfurt, Germany. Euro 4000 + Travelling Expenses.
- Institut Teknologi Bandung (Indonesia): USD 4000+.
- Travelling Expenses + Accommodations provided by the invitation hosts.
- Ryan Kurniawan, went to ETH Zurich, Switzerland, to do MSc (graduated with Summa Cumlaude) in Quantitative Finance and is about to complete his PhD there - has got a job as a quantitative financial analyst at Morgan Stanley in London, UK.
- Fernando Adventius, went to Columbia University in NYC, USA, to do MSc (successfully graduated) in Operations Research minor in Financial Engineering.
- Some students wrote their thesis with me at ITB Bandung and most majority of them graduated with cum laude and continued their postgraduate study overseas (Manchester, Leeds, etc) and some remained in the country working at Central Bank of Indonesia, MNC, e.g., Unilever, Ernst and Young, Citibank, etc.
Miscellaneous and Conference Papers
Reviewer for Int’l Journals :