The Department of Statistics is proud to list its past doctoral research students in Risk and Stochastics who have successfully completed their PhD. This list is by year of graduation (most recent first) and includes the first employment of the doctoral graduates.
2015
Youyou Zhang
Thesis: Brownian excursions in financial mathematics
Barclays Capital
Principal supervisor: Angelos Dassios
2014
Zhanyu Chen
Thesis: Pricing and hedging exotic options in stochastic volatility models
Shanghai Clearing House
Principal supervisors: Thorsten Rheinlander and Angelos Dassios
Jia Wei Lim
Thesis: Parisian excursions of Brownian motion and its application in mathematical finance
University of Bristol
Principal supervisor: Angelos Dassios
2013
Ilya Sheynzon
Thesis: Quantitative modelling of market booms and crashes
LSE Fellow in Finance, London School of Economics
Principal supervisor: Umut Cetin
2012
Xiaonan Che
Thesis: Markov-typed modelsfor large value interbank payment system
Banco Santander
Principal supervisor: Angelos Dassios
Flavia Giammarino
Thesis: Indifference pricing with uncertainty averse preferences
Bank of America
Principal supervisor: Pauline Barrieu
Hongbiao Zhao
Thesis: A dynamic contagion process for modelling contagion risk in finance and insurance
Xiamen University
Principal supervisor: Angelos Dassios
2011
Dan Chen
Thesis: Three essays on pricing and hedging problems in incomplete markets
Deutsche Bank
Principal supervisor: Thorsten Rheinlander
Sandrine Foldvari-Tobelem
Thesis: Robust asset allocation under model uncertainty
Credit Suisse
Principal superisor: Pauline Barrieu
2010
Takeshi Yamada
Thesis: Essays on mathematical finance: applications of moment expansions and filtering theory
Bank of Japan
Principal supervisors: Angelos Dassios and Umut Cetin)
2009
Young Lee
Thesis: The minimal entrophy martingale meaure and hedging in incomplete markets
Duetsche Bank
Principal supervisor: Thorsten Rheinlander
Shanle Wu
Thesis: Excursions of Lévy processes and its application on mathematical finance and insurance
UBS
Princpial supervisor: Angelos Dassios
2008
Adrian Urs Gfeller
Thesis: Dynamic sensitivity analysis in Lévy process driven option models
RMS
Principal supervisor: Ragnar Norberg
Oksana Yurievna Savina
Thesis: On optimal hedging and redistribution of catastrophe risk in insurance
Principal supervisor: Ragnar Norberg
2007
Christopher Strom
Thesis: Pricing and hedging in an incomplete interest rate market: applications of the Laplace transform
Principal supervisor: Angelos Dassios
2005
Shaoul Nathan
Thesis: Derivatives pricing in a Markov chain jump-diffusion setting
Principal supervisor: Angelos Dassios
2004
Theophilus Harry Samuel Boafo-Yirenkyi
Thesis: Valuing credit spread options under stochastic volatility / interest rates
Principal supervisors: Ruediger Kiesel and Angelos Dassios
Jayalaxshmi Nagaradjasarma
Thesis: Path-dependent functional of constant elasticity of variance and related processes: distributional results and applications in finance
Poineer Alternative Investments
Principal supervisor: Angelos Dassios
1999
Sankarshan Basu
Thesis: Approximating functions of integrals of log-Gaussian processes: applications in finance
Indian Institute of Management
Principal supervisor: Angelos Dassios
1998
Ji-Wook Jang
Thesis: Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives
Macquarie University
Principal supervisor: Angelos Dassios