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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

Quoc Viet Dang

Research group: Probability in Finance and Insurance 
Research topic/title: Optimal Transport and the Principal-Agent Problem
Contact details:  q.v.dang@lse.ac.uk, Room COL 7.03
Supervisor(s):  Dr Hao Xing / Professor Pauline Barrieu


Davide De Santis

Research group: Probability in Finance and Insurance 
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 group: Probability in Finance and Insurance 
Research topic/title: Risk and stability in complex economic and financial systems
Contact details: r.fellmann1@lse.ac.uk, Room LCH 1.04, +44 (0) 20 7107 5636
Supervisor(s): Dr Erik Baurdoux /  Dr Andrea Vedolin (Department of Finance)


Tak Yui (Andy) Ho

Research group: Probability in Finance and Insurance 
Research topic/title: Simulation methods for path dependent options
Contact details: t.y.ho2@lse.ac.uk, Room COL 2.0
Supervisor(s): Dr Angelos Dassios / Professor Pauline Barrieu


Victory Idowu

Research group: Probability in Finance and Insurance 
Research topic/title: Uncertainty quantification
Contact details: v.idowu@lse.ac.uk, Room LCH 1.04, +44 (0) 20 7107 5636
Supervisor(s): Professor Pauline Barrieu / Dr Hao Xing


Luting Li

Research group: Probability in Finance and Insurance 
Research topic/title: Tail study and path-dependent products in mathematical finance
Contact details: L.Li27@lse.ac.uk, COL 7.03
Supervisor(s): Dr Angelos Dassios / Dr Hao Xing 


Shiju Liu

Research group: Probability in Finance and Insurance 
Research topic/title: Excursions of Brownian motion with jumps and applications on Parisian barrier options
Contact details: s.liu20@lse.ac.uk, Room TW1 U.11
Supervisor(s): Dr Angelos Dassios / Dr Erik Baurdoux   


Jose Manuel Pedraza Ramirez

Research group: Probability in Finance and Insurance 
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 group: Probability in Finance and Insurance 
Research topic/title:  
Contact details: a.pignatelli-di-cerchiara@lse.ac.uk, Room COL 2.0
Supervisor(s): Dr Erik Baurdoux / Dr Angelos Dassios


Yan Qu

Research group: Probability in Finance and Insurance 
Research topic/title:  Exact Simulation mean reverting processes driven by subordinators
Contact details: y.qu3@lse.ac.uk Room COL 2.0
Supervisor(s): Dr Angelos Dassios / Dr Erik Baurdoux


Alexandra Tsimbalyuk

Research group: Probability in Finance and Insurance 
Research topic/title:  Distribution of a perpetuity in an ergodic Markov model
Contact details: a.tsimbalyuk@lse.ac.uk, Room LCH 1.04, +44 (0) 20 7107 5636
Supervisor(s): Professor Kostas Kardaras / Dr Umut Cetin


Georgios Vichos

Research group: Probability in Finance and Insurance 
Research topic/title: Risk-sharing games
Contact details: g.vichos@lse.ac.uk, Room LCH 1.04, 020-7107-(5636)
Supervisor(s): Professor Kostas Kardaras / Dr Kostas Kalogeropoulos


Diego Zabaljauregui

Research group: Probability in Finance and Insurance 
Research topic/title:  Optimal Market Making in FX / Stochastic Optimization and Control
Contact details: d.zabaljauregui@lse.ac.uk,  Room LCH 1.04, +44 (0) 20 7107 5636
Supervisor(s):  Dr Luciano Campi / Dr Beatrice Acciaio


Xiaolin Zhu

Research group: Probability in Finance and Insurance 
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 2.0
Supervisor(s):  Dr Angelos Dassios / Dr Hao Xing