Dr Budhi Surya
Teaching in 2020
- as Course Coordinator and Lecturer
After the completion of my PhD from Utrecht University, the Netherlands, I worked for nearly three years for Bank of America Corp. in Singapore with direct reporting line to BofA HQ in Charlotte, North Carolina. My job responsibility was on the financial modelling and risk management issue. My PhD was concerned most of the time on applied probability and financial stochastics that help a lot for my later job at the bank. I did an MSc degree in financial mathematics from the University of Twente. In my spare time I travel around and watch/play football.
For more informations see my personal website.
PhD (Utrecht); MSc (Twente)
My research has been on optimal stopping of Levy processes and applied probability towards applications in financial economics, actuarial science and mathematics.
I got a two-month fellowship from German Academic Exchange Services (DAAD) to spend at Goethe University of Frankfurt. Besides, I also got some invitation grants from: Columbia University (25 days), London School of Economics (5 days), Osaka University (10 days), National Chiao Tung University (2 weeks), National Tsing Hua University (5 days), Bath Univ (2 days).
Optimal stopping of Levy processes, fluctuation and excursion of Levy processes and their use in solving some problems in financial economics and mathematics. It is often that computational free-boundary problems of PIDE type are required to solve the problems.
Past Master's and PhD student
My previous supervised students have gone to do their MSc in Financial Engineering/OR at Columbia University and also to ETH Zurich (MSc and PhD).
I am interested in applying methods from applied probability, stochastic processes as well as numerical computation to solve some applied problems.
- C. Kuhn, B. A. Surya and B. Ulbricht. (2015). Optimal Selling Time of a Stock Under Capital Gains Taxes, Submitted for publication.
- E. J. Baurdoux, N. Chen, B. A. Surya and K. Yamazaki. (2015). Optimal Double Stopping of A Brownian Bridge, To appear in Advances in Applied Probability.
- 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. This is an excerpt of supervised BSc thesis of Ryan.