Author

Kevin John Fergusson

Observed names: Fergusson, Kevin, K. FERGUSSON, K. Fergusson, Kevin Fergusson

Institution: Bond University

Observed institutions: University of Technology Sydney, Bond University, The University of Melbourne, Curtin University

ORCID: 0000-0002-7584-430X

Observed ORCID: 0000-0002-7584-430X

OpenAlex ID: A5071287604

On the Distributional Characterization of Daily Log‐Returns of a World Stock Index

2006 · Kevin Fergusson, Eckhard Platen · Applied Mathematical Finance · 88

Application of Maximum Likelihood Estimation to Stochastic Short Rate Models

2015 · K. FERGUSSON, E. PLATEN · Annals of Financial Economics · 27

An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims

2017 · Enrique Calderín-Ojeda, Kevin Fergusson, et al. · Risks · 10

Less-expensive long-term annuities linked to mortality, cash and equity

2022 · Kevin Fergusson, Eckhard Platen · Annals of Actuarial Science · 7

Explicit Formulae for Parameters of Stochastic Models of a Discounted Equity Index Using Maximum Likelihood Estimation With Applications

2017 · K. FERGUSSON · Annals of Financial Economics · 6

Fast maximum likelihood estimation of parameters for square root and Bessel processes

2020 · Kevin Fergusson · Studies in Nonlinear Dynamics and Econometrics · 5

Asymptotics of Bond Yields and Volatilities for Extended Vasicek Models Under the Real-world Measure

2017 · K. FERGUSSON · Annals of Financial Economics · 5

Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers

2014 · Kevin Fergusson, Eckhard Platen · RePEc: Research Papers in Economics · 4

Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure

2019 · K. Fergusson · Scandinavian Actuarial Journal · 3

On the Distributional Characterization of Log-returns of a World Stock Index

2005 · Kevin Fergusson, Eckhard Platen · RePEc: Research Papers in Economics · 3

Less-expensive Valuation and Reserving of Long-dated Variable Annuities When Interest Rates and Mortality Rates Are Stochastic

2020 · Kevin Fergusson · Astin Bulletin · 2

Forecasting inflation using univariate continuous‐time stochastic models

2019 · Kevin Fergusson · Journal of Forecasting · 2

The profit-and-loss attribution test

2017 · Peter Thompson, Hayden Luo, et al. · The Journal of Risk Model Validation · 2

The P&L Attribution Test

2017 · Peter J. Thompson, Hayden Luo, et al. · SSRN Electronic Journal · 1

Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity

2017 · Kevin Fergusson, Eckhard Platen · SSRN Electronic Journal · 1

Stylized Properties of the Interest Rate Term Structure under the Benchmark Approach

2026 · K. Fergusson, E. Platen · Annals of Financial Economics

Data and Calculations - Dataverse

2026 · Fergusson, Kevin · Harvard Dataverse

Fair pricing and reserving of variable annuities with guarantees under the benchmark approach

2025 · Kevin Fergusson, Jin Sun, et al. · Scandinavian Actuarial Journal

Free Lunches with Vanishing Risks Most Likely Exist

2025 · Platen, Eckhard, Fergusson, Kevin · arXiv (Cornell University)

Asymptotic behavior of bond yields and volatilities for the extended 3/2 model under the real-world measure

2024 · Kevin Fergusson · Annals of Actuarial Science

Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach

2019 · Jin Sun, Kevin Fergusson, et al. · SSRN Electronic Journal

Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure

2018 · Kevin Fergusson · RePEc: Research Papers in Economics

Fat-Tailed Regression with the DPLN Distribution

2017 · Enrique Calderin, Kevin Fergusson, et al. · SSRN Electronic Journal

The P&L Attribution Test

2016 · Kevin Fergusson, Hayden Luo, et al. · SSRN Electronic Journal

Are undergraduates' expectations mirrored by graduates' realisations and employers' demands?

2015 · Roger Collinson, Kevin Fergusson, et al. · Proceedings of The Australian Conference on Science and Mathematics Education (formerly UniServe Science Conference)

Works count: 32

Citation count: 165

H-index: 5

I10-index: 3