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Research Interest

  • 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.

Working Papers

Recent Seminar Talks:

Talk and Visiting Invitations

Research Grants

  • 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.

Research Collaborators

Former Students

  • 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 :

Community Services :

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Page Updated: 26 Sep 2018 by artasubu. © Victoria University of Wellington, New Zealand, unless otherwise stated