RSFAS
Research School of Finance, Actuarial Studies & Statistics
Position
Lecturer
Email
kevin.lu@anu.edu.au
Office
Room 4.08, CBE Bld (26C)
Link
https://researchportalplus.anu.edu.au/en/persons/kevin-lu
Research areas
Mathematical finance, stochastic processes, probability theory.
Biography
Kevin Lu's area of research is in mathematical finance, stochastic processes, probability theory. His current work focuses on derivatives pricing with Lévy-driven Ornstein-Uhlenbeck processes and its applications to energy markets. He has worked on the theory of multivariate subordinated Lévy processes, estimation for Lévy-driven Ornstein-Uhlenbeck processes, and their applications to pairs trading.
Kevin completed his PhD at the Australian National University. He was previously an Acting Instructor at the University of Washington.