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London School of Economics
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Risk & Stochastics


Click on the image above to watch the video of Professor Pauline Barrieu discussing her approach to modelling and changing trends in financial markets.

The Department of Statistics has a long-standing tradition of research and education in insurance mathematics. It is running a successful, long established, BSc in Actuarial Science programme. The Department consolidated and extended its operations in this field with the launch of the MSc in Risk & Stochastics programme in the Autumn of 2004 and has in turn upgraded postgraduate activities emanating from the Department's research in this area.

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The Risk and Stochastics Group (RSG) was founded at the London School of Economics and Political Science in 2004 and is based in the School’s Department of Statistics. It manifests the department’s increasingly prominent role as a hotbed of research and education in stochastics and its applications in insurance and finance.

The RSG is an international network whose core are members of the Statistics Department and whose associates are outside experts connected to the core through academic collaboration. Its structure is horizontal. Members have been brought together by their academic interest in risk and stochastics and the collective cause of conducting research in the area, and disseminating its results through education and contacts with relevant industrial partners, regulators and bodies representing the public interest. The group is collaborating closely with LSE’s Financial Markets Group, with similar groups in other universities and with the Institute of Actuaries.

Risk and Stochastics, idea and language, are inseparable. Scientific inquiry into Risk could not happen without the sophisticated concepts, vocabulary, and analytical tools of Stochastics. And the great advances in Stochastics could not happen without the fertilising effects of its applications in risk theory and countless other areas. The dazzling beauty of Stochastics is a sufficient reason for studying it, but its immense powers make it a necessity to anyone who ventures to analyse risk management through insurance and financial operations of ever increasing complexity and sophistication.

Research is the source of drive and influence of any academic enterprise. The research activities of the RSG, reflecting both our unifying leitmotif and our diversity, range vertically from basic research to applied research and horizontally over a vast list of topics.

Academic education emanates from, and is inextricably related to, research. The teaching activities of the RSG serve the combined purpose of giving specialist training of immediate social utility and – following the Humboldt model – of equipping the students to acquire advanced knowledge and to build on and expand that knowledge.

Academic staff in Risk and Stochastics


Dr Beatrice Acciaio
Assistant Professor

Research interests: stochastic calculus and its applications to finanace; risk measures and optimal risk sharing; robust finance and information asymmetry

Contact: b.acciaio@lse.ac.uk
Personal page
Research otputs


Professor Pauline Barrieu
Chair in Statistics

Research interests: model uncertainty; insurance-linked securitization; contract designing; environmental economics; financial mathematics

Contact: p.m.barrieu@lse.ac.uk
Personal page
Research outputs

Professor Barrieu is the co-editor with Luca Albertini of The Handbook of Insurance-Linked Securities, 2009, published by Wiley-Blackwell, London, UK. ISBN 978-0-470-74383-6.  


Dr Erik Baurdoux
Associate Professor

Research interests: optimal stopping; stochastic game; Lévy processes; financial and insurance mathematics

Contact: e.j.baurdoux@lse.ac.uk
Personal page
Research outputs


Dr Luciano Campi
Associate Professor

Research interests: stochastic calculus and its applications to finance; information asymmetry and insider trading; credit risk, financial markets and transaction costs and energy markets

Contact: l.campi@lse.ac.uk
Personal page 
Research outputs


Dr Umut Cetin
Associate Professor

Research interests: stochastic calculus; theory of martingales and Markov processes; liquidity risk and credit risk modelling; asymmetric information in financial markets; carbon finance

Contact: u.cetin@lse.ac.uk
Personal page
Research outputs


Dr Angelos Dassios
Associate Professor

Research interests: stochastic processes: theory and application of piecewise deterministic Markov processes; risk theory; insurance and financial applications of stochastic processes

Contact: a.dassios@lse.ac.uk
Personal page
Research outputs


Professor Kostas Kardaras
Chair in Statistics

Research interests: stochastic analysis; martingales and the general theory of stochastic processes; foundations of mathematical finance and economics; stochastic control and optimisation; Monte Carlo methods

Contact: k.kardaras@lse.ac.uk
Personal page
Research outputs 


Dr Hao Xing
Associate Professor

Research interests: stochastic analysis, analysis of differential equations, stochastic control and their applications to finance and insurance; economic models of interacting agents.

Contact: h.xing@lse.ac.uk
Personal page
Research outputs


Visiting and Emeritus Professors and Associate Staff


Professor Ragnar Norberg
Professor Emeritus
Visiting associate member (Université Claude Bernard Lyon 1)
Contact: ragnar.norberg@univ-lyon1.fr



Professor Thorsten Rheinländer
Visiting Professor (TU Vienna)


Professor Bernard Sinclair-Desgagné
Visiting Professor (HEC Montréal)


The group collaborates closely with the LSE Financial Markets Group and, outside the School, with the Institute of Actuaries and industrial partners.

Research grants

Please see here for a full list of research grants held by the Department of Statistics and the Centre for the Analysis of Time Series (CATS).

MPhil and PhD students


Reinhard Fellmann
Research topic/title: Risk and stability in complex economic and financial systems
Supervisors: Erik Baurdoux / Andrea Vedolin (Department of Finance)
Further information: Personal homepage


Tak Yui Ho
Research topic/title: Simulation methods for path dependent options
Supervisors: Angelos Dassios / Pauline Barrieu


Cheng Li
Research topic/title: Trading in limit order market with asymmetry information
Supervisors: Hao Xing / Pauline Barrieu
Further information: Personal homepage


Shiju Liu
Research topic/title: Excursions of Brownian motion with jumps and applications on Parisian barrier options
Supervisors: Angelos Dassios / Erik Baurdoux



Georgios Vichos
Research topic/title: Risk-sharing games
Supervisors: Kostas Kardaras / Kostas Kalogeropoulos


A full list of MPhil and PhD students in the Department of Statistics is available  here.

Recent completions:

Zhang, Youyou (2015)
Thesis title: Brownian excursions in financial mathematics
Supervised by Angelos Dassios and Hao Xing

Chen, Zhanyu (2014)
Thesis title: Pricing and hedging exotic options in stochastic volatility models
Supervised by Angelos Dassios and Umut Cetin

Lim, Jia Wei (2014)
Thesis title: Parisian excursions of Brownian motion and its application in mathematical finance
Supervised by Angelos Dassios and Kostas Kalogeropoulos

Riccardi, Filippo (2014)
Thesis title: Stochastic models for the limit order book
Supervised by Angelos Dassios, Umut Cetin and Thorsten Rheinlander

Sheynzon, Ilya (2013)
Thesis title: A mathematical finance approach to modelling of multiple equilibria and stock market booms and crashes
Supervised by Umut Cetin and Thorsten Rheinlander

Zhao, Hongbiao (2012)
Thesis title: A dynamic contagion process - for modelling contagion risk in finance and insurance
Supervised by Angelos Dassios and Thorsten Rheinlander

Giammarino, Flavia (2012)
Thesis title: Indifference pricing with uncertainty averse preferences
Supervised by Pauline Barrieu and Qiwei Yao

Che, Xiaonan (2012)
Thesis title: Markov-typed models for large value interbank payment system
Supervised by Angelos Dassios and Erik Baurdoux

Tobelem, Sandrine (2011)
Thesis title: Robust asset allocation under model ambiguity
Supervised by Pauline Barrieu and Ragnar Norberg

Chen, Dan (2011)
Thesis title: Three essays on pricing and hedging problems in incomplete markets
Supervised by Thorsten Rheinlander and Umut Cetin

Yamada, Takeshi (2010)
Thesis title: Essays on mathematical finance: applications of moment expansions and filtering theory
Supervised by Angelos Dassios and Umut Cetin

Jimenez-Huerta, Diego (2009)
Thesis title: Stochastic models and methods for the assessment of earthquake risk in insurance
Supervised by Ragnar Norberg and Angelos Dassios

Lee, Young (2009)
Thesis title: The minimal entropy martingale measure and hedging in incomplete markets
Supervised by Thorsten Rheinlander and Ragnar Norberg

Wu, Shanle (2008)
Thesis title: Excursions of Lévy processes and applications in mathematical finance and insurance
Supervised by Angelos Dassios and Ragnar Norberg