APrf John van der Hoek

School of Electrical and Mechanical Engineering

College of Engineering and Information Technology

Eligible to supervise Masters and PhD - email supervisor to discuss availability.

Year	Citation
2024	van der Hoek, J., & Elliott, R. J. (2024). Mixtures of multivariate Gaussians. Stochastic Analysis and Applications, 42(4), 737-752. DOI
2022	Liu, X., Cheruvu, H. S., Anissimov, Y. G., van der Hoek, J., Tsakalozou, E., Ni, Z., . . . Roberts, M. S. (2022). Percutaneous absorption of steroids from finite doses: predicting urinary excretion from in vitro skin permeation testing. International Journal of Pharmaceutics, 625(122095), 2-16. DOI Scopus2 WoS2 Europe PMC1
2022	Abdullah, K., & van der Hoek, J. (2022). THE CONSTRUCTION AND ESTIMATION OF HIDDEN SEMI-MARKOV MODELS. Journal of Stochastic Analysis, 3(2). DOI Scopus2
2021	Roberts, M. S., Cheruvu, H. S., Mangion, S. E., Alinaghi, A., Benson, H. A. E., Mohammed, Y., . . . Grice, J. E. (2021). Topical drug delivery: history, percutaneous absorption, and product development. Advanced Drug Delivery Reviews, 177(113929), 1-43. DOI Scopus167 WoS156 Europe PMC112
2020	Liu, X., Yousef, S., Anissimov, Y. G., van der Hoek, J., Tsakalozou, E., Ni, Z., . . . Roberts, M. S. (2020). Diffusion modelling of percutaneous absorption kinetics. Predicting urinary excretion from in vitro skin permeation tests (IVPT) for an infinite dose. European Journal of Pharmaceutics and Biopharmaceutics, 149, 30-44. DOI Scopus10 WoS8 Europe PMC3
2019	Badriasl, L., Arulampalam, S., van der Hoek, J., & Finn, A. (2019). Bayesian WIV estimators for 3-D bearings-only TMA with speed constraints. IEEE transactions on signal processing, 67(13), 3576-3591. DOI Scopus23 WoS18
2017	Shanahan, B., Alavi, F. F., & van der Hoek, J. (2017). Pricing participating policies under the Meixner process and stochastic volatility. Scandinavian actuarial journal, 2017(7), 559-583. DOI Scopus3 WoS3
2013	Van Der Hoek, J., & Elliott, R. (2013). A modified hidden Markov model. Automatica, 49(12), 3509-3519. DOI Scopus2 WoS2
2013	Elliott, R., & Van Der Hoek, J. (2013). Default times in a continuous time Markov chain economy. Applied Mathematical Finance, 20(5), 450-460. DOI Scopus2
2013	Mahmoudi, P., Hatton MacDonald, D., Crossman, N., Summers, D., & Van Der Hoek, J. (2013). Space matters: the importance of amenity in planning metropolitan growth. Australian Journal of Agricultural and Resource Economics, 57(1), 38-59. DOI Scopus25 WoS24
2012	Van Der Hoek, J., & Elliott, R. (2012). Asset pricing using finite state Markov chain stochastic discount functions. Stochastic Analysis and Applications, 30(5), 865-894. DOI Scopus18 WoS15
2012	Elliott, R., Van Der Hoek, J., & Sworder, D. (2012). Markov chain hitting times. Stochastic Analysis and Applications, 30(5), 827-830. DOI Scopus2 WoS2
2012	Van Der Hoek, J., & Elliott, R. (2012). American option prices in a Markov chain market model. Applied Stochastic Models in Business and Industry, 28(1), 35-59. DOI Scopus21 WoS18
2012	van der Hoek, J., & Korolkiewicz, M. (2012). Using real property option valuation methods when market data is not available. Pacific rim property research journal, 18(3), 293-312. DOI
2010	Elliott, R., Van Der Hoek, J., & Valencia, J. (2010). Nonlinear filter estimation of volatility. Stochastic Analysis and Applications, 28(4), 696-710. DOI Scopus3 WoS3
2009	van der Hoek, J. (2009). Recombining binomial tree approximations for diffusions. Handbook of numerical analysis, 15, 361-368. DOI Scopus2
2008	Crane, G., & Van Der Hoek, J. (2008). Using distortions of copulas to price synthetic CDOs. Insurance Mathematics & Economics, 42(3), 903-908. DOI Scopus8 WoS6
2008	Crane, G., & Van Der Hoek, J. (2008). Conditional expectation formulae for copulas. Australian & New Zealand Journal of Statistics, 50(1), 53-67. DOI Scopus30 WoS30
2006	Elliott, R., & Van Der Hoek, J. (2006). Optimal linear estimation and data fusion. IEEE Transactions on Automatic Control, 51(4), 686-689. DOI Scopus10
2006	Hamada, M., Sherris, M., & van der Hoek, J. (2006). Dynamic portfolio allocation, the dual theory of choice and probability distortion functions. Astin Bulletin, 36(1), 187-217. DOI Scopus7
2006	Sherris, M., & van der Hoek, J. (2006). Capital allocation in insurance: economic capital and the allocation of the default option value. North American Actuarial Journal, 10(2), 39-61. DOI Scopus6
2006	Tao, T., Crisp, D., & van der Hoek, J. (2006). Mathematical analysis of an extended Mumford-Shah model for image segmentation. Journal of Mathematical Imaging and Vision, 24(3), 327-340. DOI Scopus3
2005	Elliott, R., Van Der Hoek, J., & Malcolm, W. (2005). Pairs trading. Quantitative Finance, 5(3), 271-276. DOI Scopus253
2004	Malcolm, W., Elliott, R., & Van Der Hoek, J. (2004). A deterministic discretisation-step upper bound for state estimation via Clark transformations. J.A.M.S.A. Journal of Applied Mathematics and Stochastic Analysis, 2004(4), 371-384. DOI Scopus2
2004	Elliott, R., & Van Der Hoek, J. (2004). Pricing claims on non tradable assets. Contemporary Mathematics, 351, 103-114.
2003	Elliott, R., & Van Der Hoek, J. (2003). A general fractional white noise theory and applications to finance. Mathematical Finance, 13(2), 301-330. DOI Scopus226
2001	Van Der Hoek, J., & Sherris, M. (2001). A class of non-expected utility risk measures and implications for asset allocations. Insurance Mathematics and Economics, 28(1), 69-82. DOI Scopus18
1998	Elliott, R., & van der Hoek, J. (1998). A Finite-Dimensional Filter for Hybrid Observations. IEEE Transactions on Automatic Control, 43,Part5(5), 736-739. DOI Scopus4
1998	Dragomir, S. S., & Van Der Hoek, J. (1998). Some New Analytic Inequalities and Their Applications in Guessing Theory. Journal of Mathematical Analysis and Applications, 225(2), 542-556. DOI Scopus5
1994	Noye, B. J., Dehghan, M., & van der Hoek, J. (1994). Explicit finite difference methods for two-dimensional diffusion with a non-local boundary condition. International Journal of Engineering Science, 32(11), 1829-1834. DOI Scopus19
1987	Cannon, J. R., Perez Esteva, S., & van der Hoek, J. (1987). GALERKIN PROCEDURE FOR THE DIFFUSION EQUATION SUBJECT TO THE SPECIFICATION OF MASS.. SIAM Journal on Numerical Analysis, 24(3), 499-515. DOI Scopus131
1986	Cannon, J. R., & van der Hoek, J. (1986). Diffusion subject to the specification of mass. Journal of Mathematical Analysis and Applications, 115(2), 517-529. DOI Scopus118
1984	Van Der Hoek, J., & Lohe, M. A. (1984). Vortex properties in first- and second-order formulations of abelian gauge theories. Journal of Mathematical Physics, 25(1), 154-160. DOI Scopus2 WoS2
1984	Van Der Hoek, J. (1984). A Free Surface Problem Arising in the Drainage of a Uniformly Irrigated Field: Existence and Uniqueness Results. Journal of the Australian Mathematical Society, 36(3), 389-403. DOI Scopus1
1983	Tuck, E. O., Bentwich, M., & Van Der Hoek, J. (1983). The free-boundary problem for gravity-driven unidirectional viscous flows. IMA Journal of Applied Mathematics Institute of Mathematics and Its Applications, 30(2), 191-208. DOI Scopus15
1982	Cannon, J. R., & van der Hoek, J. (1982). The classical solution of the one-dimensional two-phase stefan problem with energy specification. Annali Di Matematica Pura Ed Applicata, 130(1), 385-398. DOI Scopus22
1982	Cannon, J. R., & van der Hoek, J. (1982). The one phase Stefan problem subject to the specification of energy. Journal of Mathematical Analysis and Applications, 86(1), 281-291. DOI Scopus37
1982	Lohe, M., & Van Der Hoek, J. (1982). Existence and uniqueness of generalized vortices. Journal of Mathematical Physics, 24(1), 14-21. Scopus10

Year	Citation
2018	Van Der Hoek, J., & Elliott, R. J. (2018). Introduction to hidden semi-Markov models. UK: Cambridge University Press. DOI Scopus18

Year	Citation
2012	van der Hoek, J., & Korolkiewicz, M. W. (2012). New analytic approximations for pricing spread options. In S. Cohen (Ed.), Source details - Title: Stochastic Processes, Finance and Control. A Festschrift in Honor of Robert J. Elliott (pp. 259-284). Singapore: World Scientific. DOI
2010	van der Hoek, J. (2010). Binomial models for interest rates. In C. Chiarella (Ed.), Source details - Title: Contemporary quantitative finance: essays in honour of Eckhard Platen (pp. 353-368). UK: Springer. DOI
2009	Elliott, R., & van der Hoek, J. (2009). Duality methods. In R. Carmona (Ed.), Source details - Title: Indifference pricing: theory and applications (pp. 321-386). Princeton, US: Princeton University Press.
2008	Elliott, R., & van der Hoek, J. (2008). Duality Methods. In R. Carmona (Ed.), Source details - Title: Indifference Pricing (pp. 321-358). Princeton, USA: Princeton University Press. Scopus1

Year	Citation
2007	Elliott, R., & Van Der Hoek, J. (2007). Ito formulas for franctional Brownian motion. In M. Fu, R. Jarrow, J. Yen, & R. Elliott (Eds.), Advances in Mathematical Finance (pp. 59-81). www: Springer. DOI Scopus1
2006	Yao, Y. H., Begg, S., Van Der Hoek, J., Behrenbruch, P., & Bratvold, R. B. (2006). A case study for comparison of different real option approaches in petroleum investments. In Proceedings SPE Asia Pacific Oil and Gas Conference and Exhibition 2006 Thriving on Volatility Vol. 1 (pp. 445-451). Scopus1
2005	Bonnet, F., Van Der Hoek, J., Allison, A., & Abbott, D. (2005). Path integrals in fluctuating markets with a non-Gaussian option pricing model. In D. Abbott, J. P. Bouchard, X. Gabaix, & J. L. McCaulty (Eds.), Noise and fluctuations in econophysics and finance: 24-26 May, 2005, Austin, Texas, USA Vol. 5848 (pp. 66-68). Austin, Texas, USA: SPIE-INT SOC OPTICAL ENGINEERING. DOI Scopus3 WoS1
2004	van der Hoek, J. (2004). Ito-type formulas for fractional brownian motion. In R. Fitzherbert (Ed.), Proceedings of the Third National Symposium on Financial Mathematics. Australia.
2003	Malcolm, W., Elliott, R., & Van Der Hoek, J. (2003). On the numerical stability of time-discretised state estimation via Clark transformations. In Proceedings of the 42nd IEEE Conference on Decision and Control: December 2003, Maui, Hawaii Vol. 2 (pp. 1406-1412). Online: IEEE - Institute of Electrical and Electronics Engineers. DOI Scopus13

Date	Role	Research Topic	Program	Degree Type	Student Load	Student Name
2022	Co-Supervisor	Determining the casual relationshop between competing elements of military options	Doctor of Philosophy	Doctorate	Part Time	Ms Junia Ruey Tiong

Date	Role	Research Topic	Program	Degree Type	Student Load	Student Name
2006 - 2009	External Supervisor	Option Pricing Using Path Integrals	Doctor of Philosophy	Doctorate	Full Time	Dr Frederic Daniel Bonnet
2005 - 2006	Co-Supervisor	Real Options Valuation for Petroleum Investments	Master of Engineering Science	Master	Full Time	Ms Yanhua Yao
2003 - 2006	Principal Supervisor	Quantitative Methods for Investment Decisions in Communication Networks	Doctor of Philosophy	Doctorate	Full Time	Ms Clare Saddler
2002 - 2005	Principal Supervisor	An Extended Mumford-Shah Model and an Improved Region Merging Algorithm for Image Segmentation	Doctor of Philosophy	Doctorate	Full Time	Mr Trevor Tao
2002 - 2010	Co-Supervisor	Semilinear Stochastic Differential Equations with Applications to Forward Interest Rate Models	Doctor of Philosophy	Doctorate	Part Time	Mr Kevin Lee Chern Mark
1999 - 2010	Principal Supervisor	A Stochastic Buckley-Leverett Model	Doctor of Philosophy	Doctorate	Part Time	APrf Simon Carter
1999 - 2003	Principal Supervisor	A Switching Black-Scholes Model and Option Pricing	Doctor of Philosophy	Doctorate	Full Time	Ms Melanie Webb

Email: john.vanderhoek@adelaide.edu.au

APrf John van der Hoek

APrf John van der Hoek

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APrf John van der Hoek

APrf John van der Hoek

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Current Higher Degree by Research Supervision (Adelaide University)

Past Higher Degree by Research Supervision (Adelaide University)

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