APrf John van der Hoek

School of Electrical and Mechanical Engineering

College of Engineering and Information Technology

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
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
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
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
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
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.
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
2005	Elliott, R., Van Der Hoek, J., & Malcolm, W. (2005). Pairs trading. Quantitative Finance, 5(3), 271-276. DOI
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
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
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
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

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.
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

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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Past Higher Degree by Research Supervision (Adelaide University)

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