+61 2 612 (+61) 2 612 57382
Room 3.07, CBE Bld (26C)
I am a PhD Statistics student of the Australian National University. I am an assistant professor of statistics at the University of Philippines Diliman, and currently on study leave. My research interests are in financial econometrics, time series analysis, and extreme value statistics. I have publications in journals of various disciplines such as The Philippine Statistician (Scopus indexed), The Philippine Review of Economics (ABDC: C), Water International (ISI indexed), and the Journal of Advanced Studies in Finance. I have a Bachelor of Science (magna cum laude, 2009) and a Master of Science (2011) degree in Statistics from the University of the Philippines Diliman.
- 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 Unpublished Manuscript, 2015.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
Research engagement and outreach
- Casual Teacher and Member of the Executive Committee, Learning Filipino Together: The Filipino Language School Canberra, Australian Capital Territory, May 2015 - May 2016
- Casual/Sessional Academic Tutor, The Australian National University, February 2015 - present
- Assistant Professor, School of Statistics, University of the Philippines Diliman, Quezon City, Philippines, June 2009 - present
- ANU Officer Gr 5/6 (Research), The Australian National University, 2014
- Junior Research Assistant, Institute for Development and Econometric Analysis, University of the Philippines School of Economics Library, UP Diliman, Quezon City, April 2008 - April 2009
University of the Philippines:
- Statistics 101 (Elementary Statistics),
- Statistics 117 (Mathematics for Statistics),
- Statistics 121 (Probability Theory I),
- Statistics 122 (Probability Theory II),
- Statistics 131 (Parametric Statistical Inference),
- Statistics 133 (Bayesian Statistical Inference),
- Statistics 135 (Matrix Algebra for Statistics),
- Statistics 146 (Introduction to Exploratory Data Analysis),
- Statistics 149 (Introduction to Categorical Data Analysis),
- Statistics 192 (Special Topics in Business and Economic Statistics: Introduction to the Official Statistics of the Philippines)
The Australian National University:
- STAT7055 Intensive Spring Session
- FINM8009 (Derivatives: Markets, Valuation, and Risk Management)
- FINM7008 (Applied Investments)
- STAT2001 (Introductory Mathematical Statistics)
- STAT6039 (Principles of Mathematical Statistics)
- FINM2003 (Investments)
- STAT3008/7001 (Applied Statistics)
- FINM7006 (Foundations of Finance)
- STAT7055 (Introductory Statistics for Business and Finance)