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Ross Maller · Study
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Author
Ross Maller
16 works
· latest 2020
· 2 institutions
cluster: provisional
ORCID 0000-0001-8563-9898
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16
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16
Citations
1,210
Works here
16
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Most cited in this library
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
2004 · 239 citations
Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes
2004 · 146 citations
Ornstein–Uhlenbeck Processes and Extensions
2009 · 107 citations
THE RECIDIVISM OF SEX OFFENDERS IN THE WESTERN AUSTRALIAN PRISON POPULATION
1992 · 84 citations
Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processes
2005 · 80 citations
Works
16 shown
Modelling life tables with advanced ages: An extreme value theory approach
Insurance Mathematics and Economics
·
2020
·
3 authors
·
Open access
22
citations
The risk–return tradeoff: A COGARCH analysis of Merton's hypothesis
Journal of Empirical Finance
·
2010
·
2 authors
·
Open access
30
citations
Stationary solutions of the stochastic differential equation dVt=Vt−dUt+dLt with Lévy noise
Stochastic Processes and their Applications
·
2010
·
3 authors
·
Open access
33
citations
Ornstein–Uhlenbeck Processes and Extensions
Springer eBooks
·
2009
·
2 authors
·
chapter
107
citations
GARCH modelling in continuous time for irregularly spaced time series data
Bernoulli
·
2008
·
1 author
·
Open access
62
citations
On Continuity Properties of the Law of Integrals of Lévy Processes
Lecture notes in mathematics
·
2008
·
3 authors
·
chapter
53
citations
Finite approximation schemes for Lévy processes, and their application to optimal stopping problems
Stochastic Processes and their Applications
·
2007
·
2 authors
·
Open access
25
citations
A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
Mathematical Finance
·
2006
·
3 authors
57
citations
Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models
Springer eBooks
·
2006
·
3 authors
·
chapter
·
Open access
68
citations
Lévy integrals and the stationarity of generalised Ornstein–Uhlenbeck processes
Stochastic Processes and their Applications
·
2005
·
2 authors
·
Open access
80
citations
Bias and consistency of the maximum Sharpe ratio
The Journal of Risk
·
2005
·
1 author
·
Open access
78
citations
Generalised Ornstein-Uhlenbeck Processes and the Convergence of Lévy Integrals
Lecture notes in mathematics
·
2004
·
2 authors
·
chapter
48
citations
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
Journal of Applied Probability
·
2004
·
3 authors
·
Open access
239
citations
A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia
Accounting and Finance
·
2004
·
3 authors
·
Open access
78
citations
Ruin Probabilities and Overshoots for General Lévy Insurance Risk Processes
·
2004
·
3 authors
146
citations
THE RECIDIVISM OF SEX OFFENDERS IN THE WESTERN AUSTRALIAN PRISON POPULATION
The British Journal of Criminology
·
1992
·
2 authors
84
citations