The Department of Statistics is proud to list a selection of its past doctoral research students who have successfully completed their PhD.
2016
Na Huang
Thesis: Estimation of covariance, correlation and precision matrices for high-dimensional data.
Principal supervisor: Piotr Fryzlewicz
Cheng Li
Thesis: Three aspects of asymmetric information in financial market
Principal supervisor: Hao Xing
Trevor Maynard
Thesis: Extreme insurance and the dynamics of risk
Principal supervsior: Leonard Smith
Anna Louise Schroeder
Thesis: Methods for change-point detection with additional interpretability
Principal supervisor: Piotr Fryzlewicz
2015
Baojun Dou
Thesis: Three essays of time series: spatio-temproal modelling, dimension reduction and change point detection
Principal supervsior: Qiwei Yao
Mai Hafez
Thesis: Analysis of multivariate longitudinal categorical daya subject to non-random missingness; a latent variable approach
Principal supervisor: Irini Moustaki
Sarah Higgins
Thesis: Limitations to seasonal weather prediction and crop forecasting due to nonlinearity and model inadequacy
Principal supervisor: Leonard Smith
Malvina Marchese
Thesis: Whittle estimation of multivariate expotential volatility models
Principal supervisor: Qiwei Yao
Youyou Zhang
Thesis: Brownian excursions in financial mathematics
Principal supervisor: Angelos Dassios
2014
Zhanyu Chen
Thesis: Pricing and hedging exotic options in stochastic volatility models
Principal supervisors: Thorsten Rheinlander and Angelos Dassios
Yehuda Dayan
Thesis: A structured approach to web panel surveys: the use of a sequential framework for non-random survey sampling inference
Principal supervisor: Jouni Kuha
Alex Jarman
Thesis: On the provision, reliability and use of hurricane forecasts on all time scales
Principal supervisor: Leonard Smith
Karolos Korkas
Thesis: Randomised and L_1-penalty approaches to segmentation in time series and regression models
Principal supervisor: Piotr Fryzlewicz
Jia Wei Lim
Thesis: Parisian excursions of Brownian motion and its application in mathematical finance
Principal supervisor: Angelos Dassios
Filippo Riccardi
Thesis: Stochastic models for the limit order book (MPhil)
Principal supervisors: Thorsten Rheinlander and Angelos Dassios
Yang Yan
Thesis: Essays in modelling and estimating value-at-risk
Principal supervisor: Qiwei Yao
2013
Joseph Dureau
Thesis: Bayesian inference for indirectly observed stochastic processes: applications to epidemic modelling
Principal supervisor: Kostas Kalogeropoulos
Ilya Sheynzon
Thesis: Quantitative modelling of market booms and crashes
Principal supervisor: Umut Cetin
2012
Daniel Bruynooghe
Thesis: Differential cumulants, hierarchical models and monomial ideals
Principal supervisor: Henry Wynn
Xiaonan Che
Thesis: Markov-typed models for large value interbank payment system
Principal supervisor: Angelos Dassios
Flavia Giammarino
Thesis: Indifference pricing with uncertainty averse preferences
Principal supervisor: Pauline Barrieu
Sujin Park
Thesis: Consistent estimator of ex-post covariation of discretely observed diffusion processes
Principal supervisor: Oliver Linton
Yu Ren
Thesis: The methodology of flowgraph models
Principal supervisors: Henry Wynn and Wicher Bergsma
Roy Rosemarin
Thesis: Dimensionality reduction in non-parametric conditional density estimation with application to nonlinear time series
Principal supervisor: Qiwei Yao
Billy Wu
Thesis: Estimating parameters in the presence of many nuisance parameters(MPhil)
Principle supervisor: Qiwei Yao
Hongbiao Zhao
Thesis: A dynamic contagion process for modelling contagion risk in finance and insurance
Principal supervisor: Angelos Dassios
2011
Dan Chen
Thesis: Three essays on pricing and hedging problems in incomplete markets
Principal supervisor: Thorsten Rheinlander
Haeran Cho
Thesis: Sparse modelling and estimation for nonstationary time series and high-dimensional data
Principal supervisor: Piotr Fryzlewicz
Sandrine Tobelem
Thesis: Robust asset allocation under model ambiguity
Principal supervisor: Pauline Barrieu
Noha Youssef
Thesis: Optimal experimental design for computer experiments
Principal supervisor: Henry Wynn
2010
James Spencer Abdey
Thesis: To P, or Not to P? Quantifying inferential decision errors to assess whether significance truly is significant
Principal supervisor: Irini Moustaki
Neil Bathia
Thesis: Factor modelling for high dimensional time series
Principal supervisor: Qiwei Yao
Sarah Haider
Thesis: The dynamics of child poverty in Britain: Trends, transistions and trajectories - An analysis of the BHPS (1991-2002)
Principal supervisor: Henry Wynn
Takeshi Yamada
Thesis: Essays on mathematical finance: applications of moment expansions and filtering theory
Principal supervisors: Angelos Dassios and Umut Cetin
2009
Anna Andrianova
Thesis: Simulation of temperature time series on the long term scale with the application to pricing weather derivatives
Principal supervisor: Leonard Smith
Hailiang Du
Thesis: Combining statistical methods with dynamical insight to improve nonlinear estimation
Principal supervisor: Leonard Smith
Diego Jimenez-Huerta
Thesis: Stochastic models and methods for the assessment of earthquake risk in insurance
Principal supervisor: Ragnar Norberg
Young Lee
Thesis: The Minimal entrophy Martingale measure and hedging in incomplete markets
Principal supervisor: Thorsten Rheinlander
Miltiadis C. Mavrakakis
Thesis: State Space Models: univariate representation of a multivariate model, partial interpolation and periodic convergence
Principal supervisor: Qiwei Yao and Jeremy Penzer
Edward Tredger
Thesis: On the evaluation of uncertainties in climate models
Principal supervisor: Leonard Smith
Shanle Wu
Thesis: Excursions of Lévy processes and its application on mathematical finance and insurance
Principal supervisor: Angelos Dassios
2008
Adrian Urs Gfeller
Thesis: Dynamic sensitivity analysis in Lévy process driven option models
Principal supervisor: Ragnar Norberg
Oksana Yurievna Savina
Thesis: On optimal hedging and redistribution of catastrophe risk in insurance
Principal supervisor: Ragnar Norberg
Christopher Strom
Thesis: Pricing and hedging in an incomplete interest rate market: applications of the Laplace transform
Principal supervisor: Angelos Dassios
Limin Wang
Thesis: Karhunen-Loeve expansions and their applications
Principal supervisor: Henry Wynn
2007
Berna Burcak Basbug
Thesis: Modelling of the Turkish catastrophe insurance pool data, 2000-2003
Principal supervisor: Henry Wynn
Dario Ciraki
Thesis: Dynamic structural equation models: estimation and inference
Principal supervisor: Martin Knott
Milena Clarissa Cuéllar Sánchez
Thesis: Perspectives and advances in parameter estimation of nonlinear models
Principal supervisor: Leonard Smith
2006
Chrysoula Dimitriou-Fakalou
Thesis: Statistical inference for spatial and spatio-temporal processes
Principal supervisor: Qiwei Yao
Georgios Tripodis
Thesis: Heterogeneity and aggregation in seasonal time series
Principal supervisor: Jeremy Penzer
2005
Stefan Markus Kassberger
Thesis: Smile-consistent LIBOR market models: theory, approximations and properties
Principal supervisors: Ruediger Kiesel and Angelos Dassios
Shaoul Nathan
Thesis: Derivatives pricing in a Markov chain jump-diffusion setting
Principal supervisor: Angelos Dassios
2004
Panagiotis Avramidis
Thesis: Estimation of the volatility function: non-parametric and semiparametric approaches
Principal supervisor: Qiwei Yao
Theophilus Harry Samuel Boafo-Yirenkyi
Thesis: Valuing credit spread options under stochastic volatility / interest rates
Principal supervisors: Ruediger Kiesel and Angelos Dassios
Simona Costanzo
Thesis: Robust estimation of multivariate location and scatter with application to financial portfolio selection
Principal supervisor: Anthony Atkinson
Maria Teresa Catarino Leitao
Thesis: Simulation-based methods for time series diagnostics
Principal supervisor: Jeremy Penzer
Jayalaxshmi Nagaradjasarma
Thesis: Path-dependent functionals of constant elasticity of variance and related processes: distributional results and applications in finance
Principal supervisor: Angelos Dassios
2001
Agnès Marie Estibals
Thesis: An analysis of broadcast audience measuremnet systems: content validity, statistical accuracy and economic implications, using the British and French models
Principal supervisor: Celia Phillips
Yoshihiko Nishiyama
Thesis: Higher order asymptotic theory for semiparametric averaged derivatives
Principal supervisor: Martin Knott
2000
Philip Tak Kay Chan
Thesis: Detection and modelling of shocks in stochastic volatility
Principal supervisor: Martin Knott
Colm Aongus O'Muircheartaigh
Thesis: An investigation of response variance in sample surveys
Principal supervisor: David Bartholomew
1999
Sankarshan Basu
Thesis: Approximating functions of integrals of log-Gaussain processes: applications in finance
Principal supervisor: Angelos Dassios
Pamela Comber Campanelli
Thesis: The impact of the interviewer: nonresponse and response variance in social surveys
Principal supervisor: Colm A. O'Muircheartaigh
Mbolaji Lateef Oladejo
Thesis: Models of personal computer buying intention and behaviour based on the "theory of reasoned action"
Principal supervisor: Celia Phillips
Panagiota Tzamourani
Thesis: Robustness, semiparametric estimation and goodness-of-fit of latent trait models
Principal supervisor: Martin Knott
1998
Tsung-Chi Cheng
Thesis: Very robust statistics in the presence of missing data
Principal supervisor: Anthony Atkinson
H. M. Waisul Islam
Thesis: Estimating the undercount in the UK 1991 population census
Principal supervisor: Colm A. O'Muircheartaigh
Ji-Wook Jang
Thesis: Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives
Principal supervisor: Angelos Dassios
1996
Irini Moustaki
Thesis: Latent variable models for mixed manifest variables
Principal supervisor: Colm A. O'Muircheartaigh
Siem Jan Koopman
Award: PhD
Thesis: Diagnostic checking and intra-daily effects in time series models
Principal supervisor: Andrew Harvey
1992
Antonio Carlos Monteiro Ponce De Leon
Thesis: Optimum experimental design for model discrimination and generalized linear models
Principal supervisor: Anthony Atkinson
Esther Ruiz-Ortega
Thesis: Heteroscedasticity in financial time series
Principal supervisor: Andrew Harvey
1991
Leila Fuad Aboulela
Thesis: Stock and flow models for the Sudenese educational system
Principal supervisor: David Bartholomew
Mariane Streibel
Thesis: Stochastic trends in simultaneous equation systems
Principal supervisor: Andrew Harvey
1990
Maria-Theresinha Albanese
Thesis: Latent variables model for binary response data
Principal supervisor: Martin Knott
Ilias Kevork
Thesis: Confidence interval methods in discrete event computer simulation: theoretical properties and practical recommendations
Principal supervisor: David Balmer
Tan Hwee Kwan
Thesis: Robust estimation for structural time series models
Principal supervisor: Andrew Harvey
Pablo Marshall-Rivera
Thesis: Analysis of a cross-section of time series using structural time series models
Principal supervisor: Andrew Harvey
Ham-Mukasa Mulira
Thesis: Computational methods for transformations to multivariate normality
Principal supervisor: Anthony Atkinson
1989
Harilaos Lambropoulos
Thesis: Human capital and the demand for education in post-war Greece: incentives and rewards
Principal supervisor: Celia Phillips
Neil Graeme Shephard
Thesis: Exact distribution theory for the maximum likely estimator of local trend models
Principal supervisor: Andrew Harvey
1987
Cristiano Augusto Coelho Fernandes
Thesis: Non-Gaussian structural time series models
Principal supervisor: Andrew Harvey
Richard Donovan Wiggins
Thesis: A methodological investigation of non sampling error: interviewer variability and non response
Principal supervisor: Colm A. O'Muircheartaigh
1986
Jandyra Maria Guimarães Fachel
Thesis: The C-type distribution as an underlying model for categorical data and its use in factor analysis
Principal supervisor: David Bartholomew
Francisco Javier Fernandez Macho
Thesis: Estimation and testing of multivariate structural time series models
Principal supervisor: Andrew Harvey
Wilson Thinwa Wamani
Thesis: An empirical study of latent class models: application to criterion-referenced tests
Principal supervisor: David Bartholomew
1984
Ghali Abdellaoui-Maan
Thesis: Stochastic control in manpower planning
Principal supervisor: David Bartholomew
Peter Douglas Congdon
Thesis: Explanatory models for social and occupational mobility and their application to the 1973 Irish mobility study
Principal supervisor: David Bartholomew and Celia Phillips
Catherine Michalopoulou
Thesis: Adaptive estimation using order statistics of sub-samples
Principal supervisor: Martin Knott
1983
Aglaia Kalamatianou
Thesis: Generalised Markovian manpower models: theory and applications
Principal supervisor: David Bartholomew
1982
Juan Carlos Abril
Thesis: Asymptotic expansions for time series problems: with applications to moving average models
Principal supervisor:
Oscar Eduardo Hernandez-Rodriguez
Thesis: Statistical models of change in voting behaviour: a case study of Costa Rican elections, 1953-1978
Principal supervisor:
1980
Christos C. Frangos
Thesis: Modified jack-knife methods in statistics with particular reference to second-order effects
Principal supervisor: David Balmer
Eleftkerios G. Charatsis
Thesis: Statistical methods for estimation of production functions: a cross-section and time-series analysis of the Greek manufacturing industry
1967
Celia Mary Phillips
Thesis: Changes in subject choice at school and university
Principal supervisor: Claus Moser
1966
Martin Knott
Thesis: Some multinomial and combinatorial problems
Principal supervisor: Alan Stuart