People
Mr Peter Cayton
Research School of Finance, Actuarial Studies & Statistics
Position: PhD Candidate
Email: peter.cayton@anu.edu.au
Phone: +61 2 612 (+61) 2 612 57382
Office:
Room 3.07, CBE Bld (26C)
CV: CV (.PDF, 415KB)
Publications
- Cayton, Peter Julian A., and Dennis S. Mapa. “Time-Varying Johnson SU Density in Value-at-Risk Methodology,” in the Philippine Review of Economics, 2015 Issue No. 2
- Enriquez, Mark Tristan; Melendres, Michael Joseph; Tan, Dexter Eric; Villejo, Stephen Jun; and Cayton, Peter Julian, “Determinants of Income Class in Philippine Households: Evidence from the Family Income and Expenditure Survey 2009,” in The Philippine Statistician, Vol. 63, No.2, 2014.
- David, Carlos Primo; Peter Julian A. Cayton, and Theresa E. Lorenzo, “A Stochastic Frontier Model: Water District Performance, Water Tariffs, and Management of Our Water Resources,” in Water International, Vol. 39 Issue 1, 2014.
- Cayton, Peter Julian A., “Statistical Models for Extreme Values,” The Philippine Statistician, Vol. 61, No. 1, 2012.
- Cayton, Peter Julian A., Claire Dennis S. Mapa, and Mary Therese A. Lising. “Estimating Value-at-Risk Using TiVEx Models” in Journal of Advanced Studies in Finance, Vol 1, Issue 2, 2010.
- Cayton, Peter Julian and Kin-Yip Ho, “A Nonparametric Option Pricing Model Using Higher Moments”. Unpublished Manuscript, 2015. Presented at MODSIM2015, link: https://www.mssanz.org.au/modsim2015/E1/cayton.pdf
