Home > Department of Statistics > Research > Probability in Finance and Insurance

Department of Statistics
Columbia House
London School of Economics
Houghton Street
London
WC2A 2AE

 

Online query form

 

BSc Queries

+44 (0)20 7955 7650

 

MSc Queries

+44 (0)20 7955 6879 

MSc Frequently Asked Questions

 

MPhil/PhD Queries

+44 (0)20 7955 7511
p.montague@lse.ac.uk

 

Twitter

Facebook

facebookandtwitter1 

 

 

Welcome to the website of the Risk and Stochastics group

Page Contents >

Our research in risk and stochastics 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. 

For more information about our research in risk and stochastics please follow the links on the left and right of this page.


Latest News

9th European Summer School in Financial Mathematics

Professor Kostas Kardaras will give a mini course at the 9th European Summer School in Financial Mathematics, St Petersburg, 29 August 2016 to 2 September 2016. The title of this course is 'Market viability and hedging beyond NFLVR'.

Professor Kardaras is a member of the Rick and Stochastics group. He is the Chair of the Research Committee in the Department of Statistics.

ESS

Posted on 8 July 2016


 9th World Congress of the Bachelier Finance Society

Professor Pauline Barrieu is a plenary speaker at the 9th World Congress of the Bachelier Finance Society in New York on 15-19 July 2016. The title of the talk is 'Assessing Financial Model Risk'.

Professor Barrieu is the Head of Department elect of the Department of Statistics and a member of our Risk and Stochastic group. She is also Co-Director of the Centre for the Analysis of Time Series (CATS).

9thWorldCongress

Posted on 8 July 2016


Evaluating the Economics of Climate Risks and Opportunities in the Insurance Sector

LSE has released the findings of a five-year research project tracking the impact of climate change on the insurance sector.

The multi-million pound project, undertaken by the ESRC Centre for Climate Change Economics and Policy, has involved more than 30 academics, government and industry bodies, all working together to analyse the financial risks and opportunities posed by climate change.

Sponsored by Munich Re, one of the world’s leading insurance reinsurers, the project has linked scientific findings of climate change with their economic impact on financial products, disaster loss insurance and forecasting.

Established in October 2008 with a multi-million pound budget over a five-year period, the Programme funded LSE researchers, visiting professors and a PhD student, as well as events and activities. The Programme’s research was directed by Professor Leonard Smith, Director of the Centre for the Analysis of Time Series (CATS).

Professor Smith said: “These findings pull together in one place the major insights and accomplishments achieved, from posters to presentations, with the full literature available. It shows what can be accomplished when industry and academia work in concert.”

The Report can be downloaded here and includes the abstracts of two technical papers co-authored by Professor Pauline Barrieu, the Deputy Head of the Department of Statistics and Co-Director of CATS. Professor Barrieu is a member of the Risk and Stochastics group.

MunichRe

Posted on 12 November 2015


2016 Risk and Stochastics Conference

The 10th annual Risk and Stochastics Conference takes place on Thursday 21 and Friday 22 April 2016. This year's conference is hosted by Winton at their auditorium in Hammersmith, West London.

R&Snewspage

Posted on 11 December 2015


Pauline Barrieu - talk at INFORMS annual meeting, Philadelphia

Professor Pauline Barrieu, our Deputy Head of Department and a member of our Risk and Stochastics group, gave an invited talk on Assessing Financial Model Risk at INFORMS 2015 annual meeting. The event took place at Independence Hall in Philadelphia on 1-4 November 2015. Professor Barrieu's talk was chaired by Patrick Cheridito, Princeton University.

Abstract: Model risk has a huge impact on any risk measurement procedure and its
quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific purpose and so allows for flexibility.

The institute for Operations Research and the Management Sciences (INFORMS) is the largest society in the world for professionals in the field of operations research (O.R.), management science and analytics.

informs2015

Posted on 4 November 2015


 

Pauline Barrieu - Oberwolfach

Professor Pauline Barrieu participated in the Mathematics and Statistics of Quantitative Risk Management workshop at the Mathematical Research Institute of Oberwolfach on 20 to 26 September 2015. The organisors of this week-long event were Richard Davis (Columbia University), Paul Embrechts (ETH Zürich), Thomas Mikosch (University of Copenhagen) and Andrew Patton (Duke University).

oberwolfach

Posted on 28 September 2015


KostasKarKostas Kardaras - Minerva Foundation Lectures

Professor Kostas Kardaras will give a short series of Minerva Foundation lectures at Columbia University (Department of Mathematics) on 13, 16, 20 and 22 October 2015. The title is "Monotone convex analysis on $L^0_+$".

Abstract: Of importance in the field of Mathematical Finance and Economics is the space $L^0$, consisting of all equivalence classes of measurable functions built over a sigma-finite measure space equipped with the topology of convergence in measure. The absence of local convexity of the $L^0$-topology renders the use of traditional functional-analytic methods---especially those relying on the Hahn-Banach theorem and its offspring---impossible. In this series of talks, we shall develop a theory for monotone (nondecreasing) convex and concave functionals on $L^0_+$, the nonnegative orthant of $L^0_+$. Classical results in convex analysis, such as Fenchel-Moreau duality, have appropriate equivalents through a natural, but non-classical, ``duality'' pairing of $L^0_+$ with itself. Standard topics such as arbitrage theory, utility maximization and existence of equilibrium will be presented as applications of the abstract theory. If time permits, certain deeper results on the structure of $L^0_+$ will also be discussed.

Posted on 22 September 2015


barrieu_640Pauline Barrieu - public lecture at Collegium Halveticum

Professor Pauline Barrieu will give a public lecture on Assessing financial model risk at Collegium Helveticum (a joint initiative of ETH Zürich and the University of Zurich) on Tursday 8 October 2015.

Abstract: Model risk has a huge impact on any financial or insurance risk measurement procedure and its quantification is therefore a crucial step. In this paper, we introduce three quantitative measures of model risk when choosing a particular reference model within a given class: the absolute measure of model risk, the relative measure of model risk and the local measure of model risk. Each of the measures has a specific purpose and so allows for flexibility. We illustrate the various notions by studying some relevant examples, so as to emphasize the practicability and tractability of our approach.

Please see further information here.

You can listen to an audio recording of the lecture here.

Posted on 18 September 2015


Pauline Barrieu discusses statistics and modelling (video) - now over 1,000 viewings

The video of Professor Pauline Barrieu discussing her approach to modelling and changing trends in the financial markets has now been viewed more than 1,000 times. Watch the video on You Tube

Professor Barrieu is the Deputy Head of the Department of Statistics and a member of our Risk & Stochastics group. She is also the Co-Director of the Centre for the Analysis of Time Series (CATS). Her research interests are focused on model uncertainty, insurance-linked securitization, contract designing, environmental economics and financial mathematics.

PBarrieuGG

Posted on 7 September 2015


London-Paris Bachelier Workshop on Mathematical Finance

In the second of a series of meetings bridging the London and Paris mathematical finance communities, a two-day London-Paris Bachelier Workshop on Mathematical Finance tsks place in the Great Hall at King's College London on Friday 25 September 2015 and Saturday 26 September 2015.

The purpose of the workshop is to exchange information about recent research being carried out in the two communities, and to encourage cross-channel research collaborations. 

Speakers include Dr Hao Xing, a member of the Risk and Stochastics group in the Department of Statistics, as well as Dr Christoph Czichowsky of the financial mathematics group in the Department of Mathematics. Dr Luciano Campi (Risk and Stochastics groups) is a member of the organising committee. 

Please visit the workshop website, here.

BchelierPoster

Posted on 3 September 2015


 

Financial Mathematics and Economics Workhops - Thank You!

The Risk and Stochastics group says a big thank you to all the speakers and delegates who participated in the Current Challenges in Financial Mathematics and Economics workshop.

CCFME

Whiteboards

Posted on 27 August 2015


Pauline Barrieu on statistics and modelling (video)

Professor Pauline Barrieu discusses her approach to modelling and changing trends in the financial markets. Watch the video on You Tube.

1506GeartyGrillingsBarrieu

Posted on 30 July 2015 


CvitanicJJakša Cvitanić lectures on the mathematics of contract theory
February 2016

Jakša Cvitanić, Richard N Merkin Professor of Mathematical Finance in the Division of Humanities and Social Sciences at Caltech, will give a series of eight two-hour lectures at LSE in February 2016. These lectures are intended primarily for postgraduate taught and doctoral students.

Summary of the lectures: The main problem in contract theory is the Principal-Agent problem, in which Principal hires Agent to work on a project, and pays him according to an agreed upon contract. The contract has to be such that both Principal and Agent solve optimally their stochastic control problems. The lectures will start with explaining the economics of contract theory in simple single-period models. After that introduction, the rest of the course will be in continuous-time, Brownian motion models (maybe some Poisson processes models, too, if we have time.) This will include classical modelsof Holmstrom and Milgrom (1987) and Sannikov (2008). Time permitting, we will also discuss recent papers on this topic.

Please contact Ian Marshall to express an interest in attending these lectures.

Posted on 30 July 2015.

Share:Facebook|Twitter|LinkedIn|