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Department of Statistics

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London School of Economics

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London

WC2A 2AE

 

 

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Past PhD students

The Department of Statistics is proud to list a selection of its past doctoral research students who have successfully completed their PhD.

2014

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

Zhanyu Chen
Thesis: Pricing and hedging exotic options in stochastic volatility models|

Principal supervisors: Thorsten Rheinlander and Angelos Dassios

Alex Jarman
Thesis: On the provision, reliability and use of hurricane forecasts on all time scales|

Principal supervisor: Leonard Smith

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

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

1970

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

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