MSc (Mathematics)

PhD (Probability Theory)

  • Probability Theory
  • Statistics
  • Quantitative Finance

Possible areas of PhD supervision:

* Inference on heavy-tailed distributions (Statistics)

* Accuracy of normal and compound Poisson approximation (Probability Theory)

  • Probability
  • Statistics
  • Financial Mathematics
  • Econometrics

Selected Publications:

  • Novak S.Y. (2011) Extreme value methods with applications to finance. – London: Chapman & Hall/CRC Press. ISBN 9781439835746.
  • Borovkov K. & Novak S.Y. (2010) "On limiting cluster size distributions for processes of exceedances for stationary sequences". Statist. Probab. Letters, v. 80, 1814–1818.
  • Novak S.Y. and Beirlant J. (2006) "The magnitude of a market crash can be predicted". Journal of Banking and Finance, v. 30 (2), 453-462, ISSN: 0378-4266.
  • Novak S.Y. (2006) "A new characterization of the normal law". Statist. Probab. Letters, v. 77, No 1, 95-98.
  • Novak S.Y. (2004) "On self-normalised sums and Student's statistic". Theory of Probability and Its Applications, 49 (2), 336-344, ISSN: 0040585X.
  • Novak S.Y. (2003) "On the accuracy of multivariate compound Poisson approximation". Statistics amp; Probability Letters, 62 (1), 35-43, ISSN: 0167-7152.
  • Novak S.Y. (2002) "Multilevel clustering of extremes". Stochastic Processes and their Applications, 97 (1), 59-75, ISSN: 0304-4149.
  • Novak S.Y. (2002) "Inference on heavy tails from dependent data". Siberian Adv. Math., v. 12, No 2, 73-96.
  • Novak S.Y. (1999) "Generalised kernel density estimator". Theory Probab. Appl., v. 44, No 3, 634-645

Honours and Prizes:

  • 1st prize for young mathematicians (Institute of Mathematics, Novosibirsk, 1988).

Professional Membership:

  • LMS

Languages spoken

Russian, English.