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Associate Professor John van der Hoek

Academic Researcher UniSA Business

City West Campus ()
tel +61 8 830 27196

email John.VanderHoek@unisa.edu.au

Research Degree Supervisor

Research

Research focus

Applied Mathematics
Banking, Finance and Investment
Commerce, Management, Tourism and Services
Economics
Mathematical Sciences

Research

Outputs

Research outputs for the last seven years are shown below. To see earlier years visit Scopus

Open access indicates that an output is open access.

Books

Year	Output
2018	Van Der Hoek, J & Elliott, RJ 2018, Introduction to hidden semi-Markov models, Cambridge University Press, UK. Open access 7 1

Chapters

Year	Output
2012	van der Hoek, J & Korolkiewicz, MW 2012, 'New analytic approximations for pricing spread options', in S Cohen et al. (eds), Stochastic Processes, Finance and Control. A Festschrift in Honor of Robert J. Elliott, World Scientific, Singapore, ch. 11, pp. 259-284.
2010	van der Hoek, J 2010, 'Binomial models for interest rates', in C Chiarella (ed.), Contemporary quantitative finance: essays in honour of Eckhard Platen, Springer, UK, pp. 353-368.
2009	Elliott, R & van der Hoek, J 2009, 'Duality methods', in R Carmona (eds), Indifference pricing: theory and applications, Princeton University Press, Princeton, US, ch. 9, pp. 321-386.

Journal Articles

Year	Output
2022	Liu, X, Cheruvu, HS, Anissimov, YG, van der Hoek, J, Tsakalozou, E, Ni, Z, Ghosh, P, Grice, JE & Roberts, MS 2022, 'Percutaneous absorption of steroids from finite doses: predicting urinary excretion from in vitro skin permeation testing', International Journal of Pharmaceutics, vol. 625, article no. 122095, pp. 2-16. 1 1 1
2021	Roberts, MS, Cheruvu, HS, Mangion, SE, Alinaghi, A, Benson, HA, Mohammed, Y, Holmes, A, van der Hoek, J, Pastore, M & Grice, JE 2021, 'Topical drug delivery: history, percutaneous absorption, and product development', Advanced Drug Delivery Reviews, vol. 177, article no. 113929, pp. 1-43. Open access 45 44 7
2020	Liu, X, Yousef, S, Anissimov, YG, van der Hoek, J, Tsakalozou, E, Ni, Z, Grice, JE & Roberts, MS 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, vol. 149, pp. 30-44. 6 4 1
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, vol. 67, no. 13, article no 8718357, pp. 3576-3591. 12 9
2017	Shanahan, B, Alavi, FF & van der Hoek, J 2017, 'Pricing participating policies under the Meixner process and stochastic volatility', Scandinavian Actuarial Journal, vol. 2017, no. 7, pp. 559-583. 2 3
2013	Elliott, RJ & van der Hoek, J 2013, 'Default times in a continuous time Markov chain economy', Applied Mathematical Finance, vol. 20, no. 5, pp. 450-460. 1
2013	Van der Hoek, J & Elliott, RJ 2013, 'A modified hidden Markov model', Automatica, vol. 49, no. 12, pp. 3509-3519. 2 2
2012	Elliott, RJ, van der Hoek, J & Sworder, D 2012, 'Markov chain hitting times', Stochastic Analysis and Applications, vol. 30, no. 5, pp. 827-830. 2 1
2012	Mahmoudi, P, MacDonald, DH, Crossman, ND, Summers, DM & van der Hoek, J 2012, 'Space matters: the importance of amenity in planning metropolitan growth', Australian Journal of Agricultural and Resource Economics, vol. 57, no. 1, pp. 38-59. Open access 19 19
2012	van der Hoek, J & Elliott, RJ 2012, 'American option prices in a Markov chain market model', Applied Stochastic Models in Business and Industry, vol. 28, no. 1, pp. 35-59. 20 17
2012	van der Hoek, J & Elliott, RJ 2012, 'Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions', Stochastic Analysis and Applications, vol. 30, no. 5, pp. 865-894. 16 11
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, vol. 18, no. 3.
2010	Elliott, RJ, van der Hoek, J & Valencia, J 2010, 'Nonlinear filter estimation of volatility', Stochastic Analysis and Applications, vol. 28, no. 4, pp. 696-710. 3 3
2009	van der Hoek, J 2009, 'Recombining binomial tree approximations for diffusions', vol. 15, pp. 361-368. 2
2008	Crane, G & van der Hoek, J 2008, 'Conditional expectation formulae for copulas', Australian and New Zealand Journal of Statistics, vol. 50, no. 1, pp. 53-67. 18 19
2008	Crane, G & van der Hoek, J 2008, 'Using distortions of copulas to price synthetic CDOs', Insurance: Mathematics and Economics, vol. 42, no. 3, pp. 903-908. 8 6

External engagement & recognition

Collaborations

External engagement & recognition

Collaborations

Organisation	Country
CSIRO Australia (Commonwealth Scientific Industrial Research Organisation)	AUSTRALIA
Curtin University	AUSTRALIA
Food and Drug Administration	UNITED STATES
Griffith University	AUSTRALIA
RMIT University	AUSTRALIA
University of Adelaide	AUSTRALIA
University of Alberta	CANADA
University of Calgary	CANADA
University of California	UNITED STATES
University of New South Wales	AUSTRALIA
University of Queensland	AUSTRALIA
University of South Australia	AUSTRALIA
US Food and Drug Administration	UNITED STATES

Teaching & student supervision

Teaching & student supervision

Research degree supervision

Supervisions from 2010 shown

Thesis title	Student status
Determining the casual relationshop between competing elements of military options	Current
Application of hidden semi-Markov models in regime switching time series models	Completed
Exchange options under Stochastic Volatility and Jump-Diffusion (SVJD) dynamics	Completed
Hedge portfolios for options on several assets under jump-diffusion proccesses	Completed
Leland option pricing models and transaction costs: an empirical study	Completed
Trading strategies used by hedge funds	Completed

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