Scholar
Pavel V. Shevchenko
Google Scholar ID: fizvQI4AAAAJ
Professor of Actuarial Studies, co-director of the Centre for Risk Analytics, Macquarie University
Citations & Impact
Citations
1,175
H-index
20
i10-index
38
Publications
20
Co-authors
27
list available
Contact
No contact links provided.
Publications
Resume (English only)
Academic Achievements
- Published 239 papers with 2,502 citations. Recent publications include: PDSim: A Shiny App for Simulating and Estimating Polynomial Diffusion Models in Commodity Futures; Fair pricing and reserving of variable annuities with guarantees under the benchmark approach; Two-Factor and ARIMA-LS-SVR Models for Forecasting of EUA Futures Prices, etc.
Research Experience
- August 2016 - present, Professor at the Department of Applied Finance and Actuarial Studies, Macquarie University; January 2012 - present, Honorary Senior Research Associate at the Department of Statistical Science, University College London; January 2011 - present, Associate Professor at the School of Mathematics and Statistics, UNSW Sydney.
Education
- March 1996 - October 1999, PhD in Theoretical Physics from UNSW Sydney; September 1988 - June 1994, Theoretical Physics from Moscow Institute of Physics and Technology.
Background
- Research interests include Financial Risk Management, Financial Mathematics, Risk Management, and Quantitative Finance. Currently, he is a Professor at the Department of Applied Finance and Actuarial Studies, Macquarie University.
