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Probability in Finance and Insurance

The beauty of Statistics is that if you can take a large enough group of people, you can predict really well what the outcome will be overall

Our research in Probability in Finance and Insurance covers diverse aspects in quantitative modelling in finance, insurance, and risk management. Current areas include robust models on option pricing; model-uncertainty in decision making; valuation financial derivatives with exotic features; equilibrium with market constraints and informational asymmetry; optimal trading with micro-structure noise; insurance securitisation; contagion in financial and insurance markets; modelling energy and commodity markets.

Academic staff

Beatrice Acciaio - Associate Professor

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Pauline Barrieu - Professor

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Erik Baurdoux - Associate Professor

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Luciano Campi - Associate Professor

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Umut Cetin - Professor

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Angelos Dassios - Professor

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Kostas Kardaras - Professor

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Hao Xing - Associate Professor

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Research students

Patrick Aschermayr 

Research topic/title: 
Contact details: P.Aschermayr@lse.ac.uk, Room COL 5.02
Supervisor(s): Dr. Kostas Kalogeropoulos / Professor Pauline Barrieu


 Quoc Viet Dang

Research topic/title: Optimal Transport and the Principal-Agent Problem
Contact details:  q.v.dang@lse.ac.uk, Room COL 5.06
Supervisor(s):  Dr Hao Xing / Professor Pauline Barrieu


Davide De Santis

Research topic/title: Dynkin Games with Information Asymmetry
Contact details:  d.de-santis1@lse.ac.uk, Room COL 7.03
Supervisor(s):  Dr Luciano Campi / Dr Hao Xing


Reinhard Fellmann

Research topic/title: Risk and stability in complex economic and financial systems
Contact details: r.fellmann1@lse.ac.uk, Room COL 5.02
Supervisor(s): Dr Erik Baurdoux /  Dr Andrea Vedolin (Department of Finance)


Junchao Jia

Research topic/title: 
Contact details: 
J.Jia4@lse.ac.uk, Room COL 5.02
Supervisor(s): 
Dr Beatrice Acciaio / Professor Kostas Kardaras 


 

Despoina Makariou

Research topic/title: 
Contact details: D.Makariou@lse.ac.uk, COL 5.02
Supervisor(s): Professor Pauline Barrieu / Dr. Beatrice Acciaio  


Jose Manuel Pedraza Ramirez

Research topic/title: Levy Processes and Optimal Stopping
Contact details: j.m.pedraza-ramirez@lse.ac.uk, Room COL 7.03
Supervisor(s):  Dr Erik Baurdoux / Dr Beatrice Acciao


Alice Pignatelli Di Cerchiara

Research topic/title:  
Contact details: a.pignatelli-di-cerchiara@lse.ac.uk, Room COL 5.06
Supervisor(s): Dr Erik Baurdoux / Professor Angelos Dassios


Yan Qu

Research topic/title:  Exact Simulation mean reverting processes driven by subordinators
Contact details: y.qu3@lse.ac.uk Room COL 5.06
Supervisor(s): Professor Angelos Dassios / Dr Erik Baurdoux


Jing Han Tee

Research topic/title:  
Contact details: J.Tee@lse.ac.uk, Room 5.02
Supervisor(s):  Professor Angelos Dassios / Dr. Luciano Campi


Alexandra Tsimbalyuk

Research topic/title:  Distribution of a perpetuity in an ergodic Markov model
Contact details: a.tsimbalyuk@lse.ac.uk, Room 7.03
Supervisor(s): Professor Kostas Kardaras / Professor Umut Cetin


 

Diego Zabaljauregui

Research topic/title:  Optimal Market Making in FX / Stochastic Optimization and Control
Contact details: d.zabaljauregui@lse.ac.uk,  Room KGS 2.08
Supervisor(s):  Dr Luciano Campi / Dr Beatrice Acciaio


Junyi Zhang

Research topic/title:  
Contact details: J.Zhang100@lse.ac.uk, Room COL 5.02
Supervisor(s):  Professor Angelos Dassios/ Dr. Beatrice Acciaio


Xiaolin Zhu

Research topic/title:  The hitting time of Ornstein-Uhlenbeck process and more complicated mean-reverting type process
Contact details: x.zhu15@lse.ac.uk Room COL 5.06
Supervisor(s):  Professor Angelos Dassios / Dr Hao Xing