Formal Name:  Nino Kordzakhia Personal Title: Dr Position: Lecturer Organisational Units: Department of Statistics Telephone: (+61-2) 9850-8549 Fax: (+61-2) 9850-7669 Email: nkordzak@efs.mq.edu.au

Publications

Recent Refereed Publications

• Kordzakhia, N  and A. A. Novikov. Pricing of defaultable securities under stochastic interest. In Mathematical Control Theory and Finance, Ed. Sarychev et al., Springer, 2008.
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• Novikov A. A.  and N. Kordzakhia.  Martingales and first passage times of AR(1) sequences. Stochastics, v.80, no. 2, pp. 197-210, 2008.

Recent Conference and Invited Presentations

2008, Université du Maine, France
The title of talk: Pricing of barrier options under stochastic interest rate.  

January, 2008, The 3rd Bachelier Colloquium in Stochastic Calculus and Mathematical  Finance, Metabief, France.
The title of talk: Pricing of defaultable securities under stochastic interest rate

September, 2006, The workshop ‘Modeling Credit Risk by Levy Processes’, Edinburgh. The title of talk: Pricing of credit spread barriers.

Working Papers

• with A. Radchik et al.. Electricity Market: Modeling EAR.
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• EVT and risk factor analysis of exchange rates.
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• Potential exposure of electricity spread options.

Teaching

Stat 171- Statistical Data Analysis (2006, 2007)

Stat 401/890 – Stochastic Finance (2006, 2007)

ACST 865 – Quantitative Methods in Financial Risk Management