Home > Department of Statistics > Research > Risk & Stochastics

Department of Statistics
Columbia House
London School of Economics
Houghton Street


Online query form|

Frequently asked questions|


BSc Queries

 +44 (0)20 7955 7650


MSc Queries

 +44 (0)20 7955 6879 


MPhil/PhD Queries

+44 (0)20 7955 7511




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


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|


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.  


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|


Dr Luciano Campi

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| 


Dr Umut Cetin

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|


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|


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| 


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:

Barrieu, P., and Scandolo, G. (2008) General pareto-optimal allocations and applications for multi-period risks|. ASTIN Bulletin, 38 (1), pp. 105-136, ISSN 0515-0361.

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 Jang, J. (2008) The distribution of the interval between events of a Cox process with shot noise intensity|. Journal of Applied Mathematics and Stochastic Analysis, 2008, pp. 1-14. ISSN 1048-9533 1687-2177.

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

Zhanyu Chen
Research topic/title: Self-duality and semi-static hedging
Supervisor(s): Angelos Dassios / Umut Cetin / Thorsten Rheinlander

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

Jia Wei Lim
Research topic/title: Parisian option pricing and other related Parisian excursions
Supervisor(s): Angelos Dassios / Konstantinos Kalogeropoulos

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

Filippo Riccardi
Research topic/title: Stochastic models for the limit order book
Supervisor(s): Angelos Dassios / Umut Cetin / Thorsten Rheinlander

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|

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|




Risk and Stochastics Conference 2015
22 and 23 April 2015


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