Home > Department of Statistics > Research > Risk & Stochastics

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

 

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BSc Queries

 +44 (0)20 7955 7650

 

MSc Queries

 +44 (0)20 7955 6879 

 

MPhil/PhD Queries

+44 (0)20 7955 7511
i.marshall@lse.ac.uk| (PhD enquiries)

 

 

 

 

Risk & Stochastics

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.


Academic staff in Risk and Stochastics

Beatrice_Acciaio

Dr Beatrice Acciaio
Assistant Professor

Research interests: the theory of martingales and stochastic processes and their application to finance and insurance; risk measures and stochastic ordering of risk; pricing and hedging of financial derivatives; optimal risk sharing

Contact: b.acciaio@lse.ac.uk|
Personal page|

 
 
Barrieu

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|

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.  

 
 
Baurdoux

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|

 
 
LucianoCampi

Dr Luciano Campi
Reader

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| 

 
 
Cetin

Dr Umut Cetin
Reader

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|

 
 
Dassios

Dr Angelos Dassios
Associate Professor (Reader)

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|

 
 
Kardaras

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| 

 
 
Xing

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|

 

 

Visiting and Emeritus Professors and Associate Staff

Professor Ragnar Norberg
Professor Emeritus
Visiting associate member
Contact: ragnar.norberg@univ-lyon1.fr|

Professor Thorsten Rheinlander
Visiting Professor
Contact: thorsten.rheinlander@fam.tuwien.ac.at|

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


Recent research papers

A small selection of our recent research papers:

Acciaio, B. and Svindland, G. (2014) On the lower arbitrage bound of American contingent claims|. Mathematical Finance, 24 (1), pp. 147-155. ISSN 0960-1627

Acciaio, B., Beigelböck, M., Penkner, F., Schachermayer, W. and Temme, J. (2013) A trajectorial interpretation of Doob’s martingale inequalities|. Annals of Applied Probability, 23 (4), pp. 1494-1505. ISSN 1050-5164

Acciaio, B., Beigelböck, M., Penkner, F. and Schachermayer, W. (2013) A model-free version of the fundamental theorem of asset pricing and the super-replication theorem|. Mathematical Finance. ISSN 0960-1627 (In Press)

Acciaio, B., Föllmer, H. and Penner, I. (2112) Risk assessment for uncertainty cash flows: model ambiguity, discounting ambiguity, and the role of bubbles|. Finance and Stochastics, 16 (4), pp. 669-709. ISSN 0949-2984

Barrieu, P. and Fehr, M. (2014) Market-consistent modelling for cap-and-trade schemes and application to option pricing|. Operations Research, 62 (2), pp. 234-249. ISSN 0030-364X

Barrieu, P. and El Karoui, N. (2013) Monotone stability of quadratic semimartingales with applications to general quadratic BSDEs|. Annals of Probability, 41 (3B), pp. 1831-1863. ISSN 0091-1798

Barrieu, P. and Louberge, H. (2013) Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints|. Insurance: Mathematics and Economics, 52 (2), pp. 135-144. ISSN 0167-6687

Giammarino, F. and Barrieu, P. (2013) Indifference pricing with uncertainty averse preferences|. Journal of Mathematical Economics, 49 (1), pp. 2-15. ISSN 0304-4068

Baurdoux, E.J., and Kyprianou A.E. (2008) The McKean stochastic game driven by a spectrally negative Lévy process|. Electronic Journal of Probability, 13, pp. 173-197. ISSN 1083-6489

Soner, H., Cetin, U., and Touzi, N. (2010) Option hedging for small investors under liquidity costs|Finance and Stochastics, 14 (3), pp. 317-341. ISSN 0949-2984

Dassios, A. and Zhao, H. (2013) A risk model with delayed claims|. Journal of Applied Probability, 50 (3), pp. 686-702. ISSN 0021-9002

Dassios, A.  and Lim, J. W. (2013) Parisian option pricing: a recursive solution for the density of the Parisian stopping time. SIAM Journal of Financial Mathematics, 4 (1), pp. 599-615.

Jang, J. and Dassios, A. (2013) A bivariate shot noise self-exciting process for insurance|. Mathematics and Economics, 53 (3), pp. 524-532. ISSN 0167-6687

Dassios, A. and Wu, S. (2011) Double-barrier Parisian options|. Journal of Applied Probability, 48 (1), pp. 1.20. ISSN 0021-9002

Kardaras, C. (2010) Numéraire-invariant preferences in financial modelling|. Annals of applied probability, 20 (5), pp 1697-1728. ISSN 0150-5164

Bayraktar, E. and Xing, H. (2009) Analysis of the optimal exercise boundary of American options for jump diffusions|. SIAM Journal on Mathematical Analysis. 41 (2), pp. 825-860, ISSN 0036-1410

Please see the staff pages or LSE Research Online| for a comprehensive list of research outputs.


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

Cheng Li
Research topic/title: Convergence of super-solution driven by marked pointed processes
Supervisor(s): Hao Xing / Pauline Barrieu
Further information: Personal homepage|

Liu, Shiju
Research topic/title: Excursions of Brownian motion with jumps and applications on Parisian barrier options
Supervisor(s): Angelos Dassios / Erik Baurdoux

Youyou Zhang
Research topic/title: Parisian-type questions in option pricing and hedging
Supervisor(s): Angelos Dassios / Hao Xing

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

Recent completions:

Zhanyu Chen (2014)
Thesis title: Pricing and hedging exotic options in stochastic volatility models|

Jia Wei Lim (2014)
Thesis title: Parisian excursions of Brownian motion and its application in mathematical finance|

Filippo Riccardi (2014)
Thesis title: Stochastic models for the limit order book|

Ilya Sheynzon (2013)
Thesis title: A mathematical finance approach to modelling of multiple equilibria and stock market booms and crashes|

Hongbiao Zhao (2012)
Thesis title: A dynamic contagion process - for modelling contagion risk in finance and insurance|

Flavia Giammarino (2012)
Thesis title: Indifference pricing with uncertainty averse preferences|

Xiaonan Che (2012)
Thesis title: Markov-typed models for large value interbank payment system|

Dan Chen (2011)
Thesis title: Three essays on pricing and hedging problems in incomplete markets|

Jimenez-Huerta, Diego (2009)
Thesis title: Stochastic models and methods for the assessment of earthquake risk in insurance|

Lee, Young (2009)
Thesis title: The minimal entropy martingale measure and hedging in incomplete markets|

Wu, Shanle (2008)
Thesis title: Excursions of Lévy processes and applications in mathematical finance and insurance|

Yamada, Takeshi (2010)
Thesis title: Essays on mathematical finance: applications of moment expansions and filtering theory|


 

 

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Risk and Stochastics Conference 2015
22 and 23 April 2015

 

The 2015 Risk and Stochastics Conferences honours the achievements of Professor Ragnar Norberg.

 

*** PLEASE CLICK HERE TO VIEW THE CONFERENCE WEBSITE ***|

 

*** REGISTRATION IS NOW OPEN ***|

 

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