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Senior Lecturer in Statistics
Victoria University of Wellington
School of Mathematics and Statistics
PO Box 600, Wellington 6140,
Wellington, New Zealand
Email address: dr.ir.b.a.surya@gmail.com
Professional Working Experiences:
Soon after the completion of my Ph.D. from Utrecht University, the Netherlands, in January 2007, I worked for nearly three years as a quantitative financial analyst (Quant. at the level of AVP) for Bank of America Corp. I was mainly based in Singapore, with a direct reporting line to the Quantitative Risk Management Group Head at the BofA Head Quarter (HQ) in Charlotte, North Carolina, USA. I was granted H1B Work Visa for job promotion to Bank of America Corp. HQ in the USA in July 2008. Arriving at the Victoria University of Wellington, New Zealand, on 15 February 2015. Starting on 2 May 2019, I have been involved on a temporary basis as a research advisor for Bukalapak.com, one of the largest e-commerce firm in Indonesia.
Theses and Dissertation:
- B. A. Surya. (2007). Optimal Stopping Problems Driven by Levy Processes and Pasting Principles. Ph.D. Dissertation, Universiteit Utrecht, the Netherlands. Ph.D. Thesis Advisor 1: Professor Andreas Kyprianou. Advisor 2: Professor Richard Gill.
- B. A. Surya. (2001). Backward Stochastic Differential Equations and Their Applications to Hedging and Portfolio Optimization Problems Under Transaction Costs. M.Sc. Thesis for Master Class Programme in Mathematical Finance, Mathematical Research Institute, Enschede, the Netherlands. Thesis Advisors: Professor Arunabha Bagchi and Professor Michel Vellekoop. (Awarded Dutch Ir. degree by Universiteit Twente, Enschede, the Netherlands)
- B. A. Surya. (2000). Estimation of Stochastic Volatility in the Hull-White Models Using Nonlinear Filtering. M.Sc. Thesis, Universiteit Twente, Enschede, the Netherlands. Thesis Advisor: Professor Arunabha Bagchi.
Scholarships:
- 23 - 28 February 2020, Visiting Scholar, Department of Medical Statistics, Leiden University Medical Centrum, Netherlands. Host: Professor Hein Putter.
- 16 - 23 February 2020, Visiting Scholar, Department of Mathematical Sciences, University of Copenhagen, Denmark. Host Professor Michael Sorensen.
- 31 August - 16 September 2019, Visiting Scholar to NYU Stern School of Business, Department of Statistics, New York University, New York City, USA. Host: Professor Halina Frydman.
- 11-20 February 2018, Visiting Scholar, Hugo Steinhaus Center, Wroclaw University of Science and Technology, Wroclaw, Poland. Host: Professor Zbigniew Palmowski.
- 2-31 May 2014, Visiting Scholar to Department of Industrial Engineering and Operations Research, Columbia University in the City of New York, USA. Host: Professor Karl Sigman.
- 23 – 27 October 2013, Visiting Scholar, Risk and Stochastic Group, London School of Economics, London, UK. Host: A/Professor Erik J. Baurdoux.
- 1 October - 30 November 2013, DAAD Visiting Scholar to Institute of Mathematics, Goethe University of Frankfurt, Frankfurt, Germany. Host: Professor Christoph Kuhn.
- 5 – 12 December 2012, Visiting Scholar, Center of Mathematical Modeling and Scientific Computing, National Chiao Tung University, Hsinchu, Taiwan. Host: Professor Sheu Yuan-Chung.
- 15 February 2003 - 15 January 2007, Full Ph.D. Scholarship from the University of Utrecht, Utrecht, the Netherlands.
- 1 August 2000 - 1 June 2001, Full Postgraduate Scholarship from the Dutch Mathematical Research Institute (MRI), the Netherlands. (Top graduate)
- 1 August 1998 - 1 June 2000, Full MSc Scholarship from the University of Twente, Enschede, the Netherlands.
- 11 October 1997, Graduated with Cumlaude from Bandung Institute of Technology, Bandung, Indonesia.
Research Interest:
- Complex stochastic systems modeling
- Markov chains and Markov jump processes
- The mixture of Markov chains and Markov jump processes
- and its Conditional (multivariate) lifetime distributions
- The multi-state Markov mixture model with Bayesian updates
- Statistical inference for the mixture of Markov jump processes
- Maximum likelihood estimation and the EM algorithm
- Optimal stopping problem under Levy processes
- Numerical solution to the free-boundary problem of optimal stopping
- Fluctuation and excursion theory of asymmetric Levy processes
- (Inverse) Laplace transforms of fluctuation identity of Levy process
- Exit and ruin problems under Levy insurance risk processes
- Credit risk and optimal capital structure problems
- Optimal assets allocation under non-Gaussian log-return
- Actuarial science and financial stochastics
- Applied probability and its computational aspects
- Survival analysis of censored (cured) events
Research Collaborators:
- Erik Baurdoux, London School of Economics
- Nan Chen, Chinese University of Hong Kong
- Zezhun Chen, London School of Economics
- Angelos Dassios, London School of Economics
- Halina Frydman, New York University Stern School of Business
- Valerie Kuan, University College London
- Andreas Kyprianou, University of Bath.
- Christoph Kuhn, Goethe University of Frankfurt
- Ryan Kurniawan, ETH Zurich.
- Jia Wei Lim, Brunel University London
- Ronnie Loeffen, University of Manchester
- Zbigniew Palmowski, University of Wroclaw
- José Luis Pérez, CIMAT Mexico
- Bjorn Ulbricht, Goethe University of Frankfurt
- Kazutoshi Yamazaki, Kansai University
- Yuichi Hirose, Victoria University of Wellington
- Yuan Yao, Victoria University of Wellington
- Muhamad Khandoker, Victoria University of Wellington
- Muhammad Ghifary, www.Bukalapak.com
- Yan Qu, University of Warwick
- Wenyuan Wang, Xiamen University
- Hongbiao Zhao, Shanghai University of Finance and Economics
- Xianghua Zhao, Qufu Normal University
- Xiaowen Zhou, Concordia University
Supervised/Former Students:
- Ryan Kurniawan, went to ETH Zurich, Switzerland, to do MSc (with Summa Cum Laude) in Quantitative Finance and defended his Ph.D. at ETH Zurich - has already 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; working at a New York based shipping company, moving to Geneva, Switzerland.
- Some students wrote their thesis with me at ITB Bandung and most majorities of them graduated with cum laude and continued their postgraduate study overseas (NUS, Manchester, Leeds, etc) and some remained in the country working at Central Bank of Indonesia, MNC, e.g., Unilever, Ernst and Young, Citibank, etc.
- Ashri Putri Rahadi, graduated with an MSc degree, Institut Teknologi Bandung, 2014.
- Nora Amelda Rizal, graduated a Doctorate degree with Cumlaude, Institut Teknologi Bandung, 2016.
- Steven Brasell, MSc student, Victoria University of Wellington, New Zealand. (Graduated with Distinction)
- Ricardo Ferreira, continuing his MSc study in Public Policy at the University of California at Los Angeles.
- James A. Clark, graduated with distinction in Actuarial Science. Working for Boston Consulting Group, Melbourne, Australia.
- Muhamad Khandoker, a Ph.D. student at Victoria University of Wellington, New Zealand.
- Erandi Hasanthika, a PhD student at Victoria University of Wellington
Research Grants:
- 16-23/02/2020, Mathematical Institute, University of Copenhagen, Denmark. About DKK 5,740 (hotel accommodation + local expenses)
- 1-2/08/2019, Research School of Finance, Actuarial Studies, and Statistics, Australian National University. About AUD 1,300 (hotel, flight, and local expenses)
- 1/10/2018 - 1/10/2019, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand, NZD 9,000.00
- 21/09/2016, CSIRO Ph.D. Research Grants jointly with Prof. Colin O'hare, Monash University, Melbourne, Australia.
- 5/05/2016, 23/09/2016, 8/08/2017, 28/03/2018, Victoria University PBRF Research Grants : NZD 7,000 + NZD 4,000 conference/travel grants.
- 18/01/2017, Center of Actuarial Excellence, Department of Actuarial Science and Statistics, University of Hong Kong: HK $ 6,000 + accommodation + flight
- 26/11/2015, Research School of Finance, Actuarial Studies and Statistics, Australian National University, Australia: travel grants AUD 1,030 and accommodation
- 6/07/2015, Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong: HK $3,506 + accommodation + flight
- 2-31 May 2014, Department of Industrial Engineering and Operations Research, Columbia University in the City of New York: USD $ 1,500 + accommodation + flight
- 1 October - 30 November 2013, German Academic Exchange Service (DAAD), 1 October - 30 November 2013, Goethe University of Frankfurt: Euro 4000 + travelling expenses.
- 7/12/2012, National Chiao Tung University, Hsinchu, Taiwan: TWD 22,000
- 2/09/2012, Center for Finance and Insurance of Osaka University, Osaka University, Japan: about JPY 100,000
- 8/03/2012, National Tsing Hua University, Hsinchu, Taiwan: TWD 22,000
- 1/10/2012, Institut Teknologi Bandung, Indonesia: USD 4000+
Journal Editorial Activities:
- Editorial Board Member of Risks (as Topic Editor)
External Research Consultancies:
- May-November 2019, www.Bukalapak.com, one of the largest e-commerce companies in Indonesia
Selected Publications:
- Z. Palmowski and B.A. Surya. (2020). Optimal Valuation of American Callable Credit Default Swaps Under Drawdown. Insurance: Mathematics and Economics, 93, 168-177.
- Z. Palmowski, J.L. Perez, B.A. Surya, K. Yamazaki. (2020). The Leland-Toft Optimal Capital Structure Model Under Poisson Observations. Finance and Stochastics, 24, 1035-1082.
- B.A. Surya. (2018). Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process. In: Wood D., de Gier J., Praeger C., Tao T (eds) 2017 MATRIX Annals (2), 311-326. Springer Nature.
- B.A. Surya. (2018). Distributional Properties of the Mixture of Continuous-Time Absorbing Markov Chains Moving at Different Speeds. Stochastic Systems - INFORMS, 8, 29-44.
- R. Loeffen, Z. Palmowski and B. A. Surya. (2017). Discounted Penalty at Parisian Ruin for Levy Insurance Risk Process. Insurance: Mathematics and Economics.
- 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.
Submitted/Working Papers:
- Z. Chen, A. Dassios, V. Kuan, J. W. Lim, Y. Qu, B. A. Surya, and H. Zhao. (2020). A Two-Phase Dynamic Contagion Model for COVID-19. Submitted.
- B. A. Surya, W. Wang, X. Zhao, and X. Zhou. (2020). Parisian Excursion from the Last Record Maximum of Levy Insurance Risk Process with Fixed Duration and Capital Injection.
- B. A. Surya, W. Wang, X. Zhao, and X. Zhou. (2020). Parisian Excursion with Capital Injection for Draw-down Reflected Levy Insurance Risk Process. Submitted.
- H. Frydman and B. A. Surya. (2020) The Mixture of Markov Jump Processes: Monte Carlo Method and the EM Estimation. In preparation for submission.
- B. A. Surya. (2019). A Multi-State Markov Mixture Model with Bayesian Updates: the Finite Mixture of Markov Jump Processes. Submitted.
- B. A. Surya. (2019). Conditional Joint Probability Distributions of First Exit Times to Overlapping Absorbing Sets of the Mixture of Markov Jump Processes.
- K.A. Mohammad, Y. Hirose, B.A. Surya, Y. Yao. (2019). Efficient Estimation for the Cox Proportional Hazard Cure Model. Submitted.
- B.A. Surya. (2019). Selling a Stock at its Maximum: Some Remarks on Shiryaev-Xu-Zhou Optimal Stopping.
- C. Kuhn, B. A. Surya and B. Ulbricht. (2018). Optimal Selling Time of a Stock Under Capital Gains Taxes. In revision, International Journal of Theoretical and Applied Finance.
- B. A. Surya. (2018). Conditional Phase-Type Distribution of Doubly Stochastic Jump Markov Processes.
- B. A. Surya. (2018). Competing Risks Under Markov Mixture Model. (Presented at the Insurance: Mathematics and Economics Conference, UNSW Sydney, 16-18 July 2018).
- B. A. Surya. Finite Maturity Optimal Stopping of Levy Processes with Running Cost, Stopping Cost and Terminal Gain - has not been updated yet.
Recent Seminar Talks:
- The mixture of Markov jump processes: Distributional properties and Statistical estimation. Department of Statistics, the University of Auckland, New Zealand.
- Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process. 2018 AUT Mathematical Sciences Symposium, Auckland, New Zealand.
- Nontrivial Generalization of the Markov Chains and Phase-Type Distributions: A Markov Mixture Approach. Presented on 14 February 2018 at Hugo Steinhaus Center, Wroclaw University of Science and Technology, Wroclaw, Poland, and also on 21 February 2018 at the Risk and Stochastic Seminar of Department of Statistics, London School of Economics, London, UK.
Talk and Visiting Invitations
- 27 February 2020, Invited seminar talk, Department of Medical Statistics, Leiden University Medical Centrum. Host: Professor Hein Putter.
- 19 February 2020, Invited seminar talk, Department of Mathematical Sciences, University of Copenhagen. Host Professor Michael Sorensen.
- 6 September 2019, Invited seminar talk, Department of Statistics, Stern School of Business, New York University. Host: Professor Halina Frydman.
- 4 September 2019, Invited seminar talk, Department of Electrical, Computer, and Systems Engineering, Rensselaer Polytechnic Institute, New York. Host Associate Professor Agung Julius
- 1 August 2019, Invited seminar talk, RSFAS Seminar Series, College of Business and Economics, The Australian National University, Canberra, hosted by Professor Ross Maller.
- 15 January 2019, Invited seminar talk, BINUS Business School, BINUS University, Jakarta, Indonesia. Host. Dr Ahmad Syamil.
- 21 November 2018, Invited seminar talk, Department of Statistics, the University of Auckland, hosted by Associate Professor Simon Harris
- 20-23 February 2018, Visiting and giving a talk, Risk and Stochastic Seminar, Department of Statistics, London School of Economics, hosted by Professor Angelos Dassios.
- 11-20 February 2018, Research visit and giving a talk, Hugo Steinhaus Center, Wroclaw University of Science and Technology, hosted by Professor Zbigniew Palmowski.
- 4-6 December 2017, Invited talk, Sixth Wellington Workshop in Probability and Mathematical Statistics, Victoria University of Wellington.
- 29 November 2017, Invited talk, Center of Financial Mathematics, Institute for Mathematics and its Applications, University of Wollongong. Host: Professor Song-Ping Zhu
- 19-26 November 2017, Invited participant, MATRIX Mathematics of Risk Workshop, the 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, held in Bali, Indonesia.
- 18 January 2017, Invited talk, Center of Actuarial Excellence, The University of Hong Kong, Host: Professors Aijun Zhang and K.C. Yuen.
- 9-13 January 2017, Invited talk, The 5th NUS Workshop on Risk and Regulation, National University of 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 in NYC, 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 Professor 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. Host: Professor Sheu Yuan-Chung.
- 7 September 2012, Invited Speaker, Topics in Levy and Jump Processes, Center for Finance and Insurance of Osaka University, Japan. Host: Professor 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 Tsing Hua University, Hsinchu, Taiwan. Host: Professor Sheu Yuan-Chung.
- 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, USA.
Invited Reviewer for International Journals:
- SIAM Journal on Control and Optimization (SICON).
- The Journal of Computational Finance.
- Stochastics: An International Journal of Probability and Stochastic Processes.
- Stochastic Processes and their Applications.
- International Journal of Mathematics.
- Review of Derivative Research.
- Journal of Applied Probability
- Journal of Theoretical Probability
- Applied Mathematics and Optimization
- Scandinavian Actuarial Journal
- Methodology and Computing in Applied Probability
- Springer MATRIX Annals.
- ANZIAM Journal of Mathematics.
- ANZIAM Journal of Statistics.
- Econometrics and Statistics.
- Statistics and Probability Letters.
- Mathematics.
Teaching Experiences:
At Victoria University of Wellington, New Zealand
I have been teaching the following courses from February 2015 to date:
- Statistics for the Natural and Social Sciences
- Statistical Models for Actuarial Science (Course Coordinator from 2017)
- Mathematical Statistics
- Probability and Decision Modelling
- Biostatistics (Course Coordinator from 2019)
- Linear Models (Course Coordinator from 2019)
- Mathematical Methods for Applied Statistics (from 2020)
- Stochastic Processes (from 2020)
At ITB Bandung, Indonesia
I taught the following courses from January 2010 - December 2014:
- Capital Markets
- Risk Management
- Fixed Income
- Time Series Analysis
- Financial Modeling
- Advances in Economics
- Mathematical Finance
- Advance in Financial Mathematics
Community Services:
- Member of Marketing Committee, School of Mathematics and Statistics, Victoria University of Wellington, New Zealand.
- Coordinator for Statistics Seminar, School of Mathematics and Statistics, Victoria University of Wellington.
- From 2015 - date, I have been associated with The Indonesian Financial Management Association as one of its academic advisory board members.
- Since 2012 - date, I have been associated with Center for Risk Management Study (CRMS) Indonesia as one of its academic advisory board members.
Membership:
New Zealand Statistical Association
Last Updated: Last week
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