Past PhD Students from 1966 to the present day
2022
Rico Blaser
Principle Supervisor: Piotr Fryzlewicz
Thesis: Random rotations in machine learning
Cheng Chen
Principle Supervisor: Xinghao Qiao
Thesis: Autocovariance-based Statistical Interfence for High-Dimensional Functional/Scalar Time Series
Alexandra Tsimbalyuk
Principle Supervisor: Kostas Kardaras
Thesis: Efficient estimation of present-value distributions for long-dated contracts and functionals in the multivariate case
Konstantinos Vamvourellis
Principle Supervisor: Kostas Kalogeropoulos
Thesis: Bayesian inference for latent variable modelling
2021
Quoc Viet Dang
Principal supervisor: Hao Xing
Thesis: Infinite horizon stochastic differential utility of Epstein-Zin type
Davide De Santis
Principal supervisor: Luciano Campi
Thesis: On stochastic differential games with impulse controls and applications
Reinhard Fellmann
Principal supervisor: Erik Baurdoux
Thesis: Essays in tail risk and asset pricing in credit markets
Jose Manuel Pedraza Ramirez
Principal supervisor: Erik Baurdoux
Thesis: Optimal prediction problems and the last zero of spectrally negative Lévy processes
Alice Pignatelli di Cerchiara
Principal supervisor: Erik Baurdoux
Thesis: Pricing financial and insurance products in the multivariate setting
Lok Ting (Christine) Yuen
Principal supervisor: Piotr Fryzlewicz
Thesis: High-dimensional variable selection and time series classification and forecasting with potential change-points
Junyi Zhang
Principal supervisor: Angelos Dassios
Thesis: Parisian times, Bessel processes and Poisson-Dirichlet random variables
2020
Xiaolin Zhu
Principal supervisor: Angelos Dassios
Thesis: Excursion theory and local times for Bessel and Brownian diffusions: with applications to credit risk
2019
Andy Ho
Principal supervisor: Angelos Dassios
Thesis: On the running maximum of Brownian motion and associated lookback options
Luting Li
Principal supervisor: Angelos Dassios
Thesis: First passage times of diffusion processes and their applications to finance
Hye Young Maeng
Principal supervisor: Piotr Fryzlewicz
Thesis: Adaptive multiscale approaches to regression and trend segmentation
Cheng Qian
Principal supervisor: Clifford Lam
Thesis: Spatial modelling and volatility matrix estimation in high dimension statistics with financial applications
Yan Qu
Principal supervisor: Angelos Dassios
Thesis: Simulations on Lévy subordinators and Lévy driven contagion models
Georgios Vichos
Principal supervisor: Kostas Kardaras
Thesis: Essays on mathematical finance
Diego Zabaljauregui
Principal supervisor: Luciano Campi
Thesis: Optimal market making under partial information and numerical methods for impulse control games with applications
2018
Phoenix Feng
Principal supervisor: Clifford Lam
Thesis: Eigenvalue-regularized covariance matrix estimators for high-dimensional data
Haziq Jamil
Principal supervisor: Wicher Bergsma
Thesis: Regression modelling using priors depending on Fisher information covariance kernels (I-priors)
Shiju Liu
Principal supervisor: Angelos Dassios
Thesis: Excursions of Risk Processes with Inverse Gaussian Processes and their Applications in Insurance
Ewelina Sienkiewicz
Principal supervisor: Leonard Smith
Thesis: Predictability and the decay of information in mathematical and physical systems
Yajing Zhu
Principal supervisor: Fiona Steele
Thesis: Multilevel structural equation models for the interrelationships between multiple dimensions of childhood socioeconomic circumstances, partnership stability and midlife health
2017
Ali Habibnia
Principal supervisor: Matteo Barigozzi
Thesis: Essays in High-dimensional Nonlinear Time Series Analysis
Tayfun Terzi
Principal supervisor: Chris Skinner
Thesis: Detecting semi-plausible response patterns
Ed Wheatcroft
Principal supervisor: Leonard Smith
Thesis: Improving predictability of the future by grasping probability less tightly
2016
Rafal Baranowski
Principal supervisor: Piotr Fryzlewicz
Thesis: On variable selection in high dimensions, segmentation & multiscale time series
Na Huang
Principal supervisor: Piotr Fryzlewicz
Thesis: Estimation of covariance, correlation and precision matrices for high-dimensional data
Cheng Li
Principal supervisor: Hao Xing
Thesis: Three aspects of asymmetric information in financial market
Trevor Maynard
Principal supervsior: Leonard Smith
Thesis: Extreme insurance and the dynamics of risk
Anna Louise Schroeder
Principal supervisor: Piotr Fryzlewicz
Thesis: Methods for change-point detection with additional interpretability
2015
Baojun Dou
Principal supervsior: Qiwei Yao
Thesis: Three essays of time series: spatio-temproal modelling, dimension reduction and change point detection
Mai Hafez
Principal supervisor: Irini Moustaki
Thesis: Analysis of multivariate longitudinal categorical daya subject to non-random missingness; a latent variable approach
Sarah Higgins
Principal supervisor: Leonard Smith
Thesis: Limitations to seasonal weather prediction and crop forecasting due to nonlinearity and model inadequacy
Malvina Marchese
Principal supervisor: Qiwei Yao
Thesis: Whittle estimation of multivariate expotential volatility models
Youyou Zhang
Principal supervisor: Angelos Dassios
Thesis: Brownian excursions in financial mathematics
2014
Zhanyu Chen
Principal supervisors: Thorsten Rheinlander and Angelos Dassios
Thesis: Pricing and hedging exotic options in stochastic volatility models
Yehuda Dayan
Principal supervisor: Jouni Kuha
Thesis: A structured approach to web panel surveys: the use of a sequential framework for non-random survey sampling inference
Alex Jarman
Principal supervisor: Leonard Smith
Thesis: On the provision, reliability and use of hurricane forecasts on all time scales
Karolos Korkas
Principal supervisor: Piotr Fryzlewicz
Thesis: Randomised and L_1-penalty approaches to segmentation in time series and regression models
Jia Wei Lim
Principal supervisor: Angelos Dassios
Thesis: Parisian excursions of Brownian motion and its application in mathematical finance
Filippo Riccardi
Principal supervisors: Thorsten Rheinlander and Angelos Dassios
Thesis: Stochastic models for the limit order book (MPhil)
Yang Yan
Principal supervisor: Qiwei Yao
Thesis: Essays in modelling and estimating value-at-risk
2013
Joseph Dureau
Principal supervisor: Kostas Kalogeropoulos
Thesis: Bayesian inference for indirectly observed stochastic processes: applications to epidemic modelling
Ilya Sheynzon
Principal supervisor: Umut Cetin
Thesis: Quantitative modelling of market booms and crashes
2012
Daniel Bruynooghe
Principal supervisor: Henry Wynn
Thesis: Differential cumulants, hierarchical models and monomial ideals
Xiaonan Che
Principal supervisor: Angelos Dassios
Thesis: Markov-typed models for large value interbank payment system
Flavia Giammarino
Principal supervisor: Pauline Barrieu
Thesis: Indifference pricing with uncertainty averse preferences
Sujin Park
Principal supervisor: Oliver Linton
Thesis: Consistent estimator of ex-post covariation of discretely observed diffusion processes
Yu Ren
Principal supervisors: Henry Wynn and Wicher Bergsma
Thesis: The methodology of flowgraph models
Roy Rosemarin
Principal supervisor: Qiwei Yao
Thesis: Dimensionality reduction in non-parametric conditional density estimation with application to nonlinear time series
Billy Wu
Principle supervisor: Qiwei Yao
Thesis: Estimating parameters in the presence of many nuisance parameters (MPhil)
Hongbiao Zhao
Principal supervisor: Angelos Dassios
Thesis: A dynamic contagion process for modelling contagion risk in finance & insurance
2011
Dan Chen
Principal supervisor: Thorsten Rheinlander
Thesis: Three essays on pricing and hedging problems in incomplete markets
Haeran Cho
Principal supervisor: Piotr Fryzlewicz
Thesis: Sparse modelling and estimation for nonstationary time series and high-dimensional data
Sandrine Tobelem
Principal supervisor: Pauline Barrieu
Thesis: Robust asset allocation under model ambiguity
Noha Youssef
Principal supervisor: Henry Wynn
Thesis: Optimal experimental design for computer experiments
2010
James Spencer Abdey
Principal supervisor: Irini Moustaki
Thesis: To P, or Not to P? Quantifying inferential decision errors to assess whether significance truly is significant
Neil Bathia
Principal supervisor: Qiwei Yao
Thesis: Factor modelling for high dimensional time series
Sarah Haider
Principal supervisor: Henry Wynn
Thesis: The dynamics of child poverty in Britain: Trends, transistions and trajectories - An analysis of the BHPS (1991-2002)
Takeshi Yamada
Principal supervisors: Angelos Dassios and Umut Cetin
Thesis: Essays on mathematical finance: applications of moment expansions and filtering theory
2009
Anna Andrianova
Principal supervisor: Leonard Smith
Thesis: Simulation of temperature time series on the long term scale with the application to pricing weather derivatives
Hailiang Du
Principal supervisor: Leonard Smith
Thesis: Combining statistical methods with dynamical insight to improve nonlinear estimation
Diego Jimenez-Huerta
Principal supervisor: Ragnar Norberg
Thesis: Stochastic models and methods for the assessment of earthquake risk in insurance
Young Lee
Principal supervisor: Thorsten Rheinlander
Thesis: The Minimal entrophy Martingale measure and hedging in incomplete markets
Miltiadis C. Mavrakakis
Principal supervisor: Qiwei Yao and Jeremy Penzer
Thesis: State Space Models: univariate representation of a multivariate model, partial interpolation and periodic convergence
Edward Tredger
Principal supervisor: Leonard Smith
Thesis: On the evaluation of uncertainties in climate models
Shanle Wu
Principal supervisor: Angelos Dassios
Thesis: Excursions of Lévy processes and its application on mathematical finance and insurance
2008
Adrian Urs Gfeller
Principal supervisor: Ragnar Norberg
Thesis: Dynamic sensitivity analysis in Lévy process driven option models
Oksana Yurievna Savina
Principal supervisor: Ragnar Norberg
Thesis: On optimal hedging and redistribution of catastrophe risk in insurance
Christopher Strom
Principal supervisor: Angelos Dassios
Thesis: Pricing and hedging in an incomplete interest rate market: applications of the Laplace transform
Limin Wang
Principal supervisor: Henry Wynn
Thesis: Karhunen-Loeve expansions and their applications
2007
Berna Burcak Basbug
Principal supervisor: Henry Wynn
Thesis: Modelling of the Turkish catastrophe insurance pool data, 2000-2003
Dario Ciraki
Principal supervisor: Martin Knott
Thesis: Dynamic structural equation models: estimation and inference
Milena Clarissa Cuéllar Sánchez
Principal supervisor: Leonard Smith
Thesis: Perspectives and advances in parameter estimation of nonlinear models
2006
Chrysoula Dimitriou-Fakalou
Principal supervisor: Qiwei Yao
Thesis: Statistical inference for spatial and spatio-temporal processes
Georgios Tripodis
Principal supervisor: Jeremy Penzer
Thesis: Heterogeneity and aggregation in seasonal time series
2005
Stefan Markus Kassberger
Principal supervisors: Ruediger Kiesel and Angelos Dassios
Thesis: Smile-consistent LIBOR market models: theory, approximations and properties
Shaoul Nathan
Principal supervisor: Angelos Dassios
Thesis: Derivatives pricing in a Markov chain jump-diffusion setting
2004
Panagiotis Avramidis
Principal supervisor: Qiwei Yao
Thesis: Estimation of the volatility function: non-parametric and semiparametric approaches
Theophilus Harry Samuel Boafo-Yirenkyi
Principal supervisors: Ruediger Kiesel and Angelos Dassios
Thesis: Valuing credit spread options under stochastic volatility / interest rates
Simona Costanzo
Principal supervisor: Anthony Atkinson
Thesis: Robust estimation of multivariate location and scatter with application to financial portfolio selection
Maria Teresa Catarino Leitao
Principal supervisor: Jeremy Penzer
Thesis: Simulation-based methods for time series diagnostics
Jayalaxshmi Nagaradjasarma
Principal supervisor: Angelos Dassios
Thesis: Path-dependent functionals of constant elasticity of variance and related processes: distributional results and applications in finance
2001
Agnès Marie Estibals
Principal supervisor: Celia Phillips
Thesis: An analysis of broadcast audience measuremnet systems: content validity, statistical accuracy and economic implications, using the British and French models
Yoshihiko Nishiyama
Principal supervisor: Martin Knott
Thesis: Higher order asymptotic theory for semiparametric averaged derivatives
2000
Philip Tak Kay Chan
Principal supervisor: Martin Knott
Thesis: Detection and modelling of shocks in stochastic volatility
Colm Aongus O'Muircheartaigh
Principal supervisor: David Bartholomew
Thesis: An investigation of response variance in sample surveys
1999
Sankarshan Basu
Principal supervisor: Angelos Dassios
Thesis: Approximating functions of integrals of log-Gaussain processes: applications in finance
Pamela Comber Campanelli
Principal supervisor: Colm A. O'Muircheartaigh
Thesis: The impact of the interviewer: nonresponse and response variance in social surveys
Mbolaji Lateef Oladejo
Principal supervisor: Celia Phillips
Thesis: Models of personal computer buying intention and behaviour based on the "theory of reasoned action"
Panagiota Tzamourani
Principal supervisor: Martin Knott
Thesis: Robustness, semiparametric estimation and goodness-of-fit of latent trait models
1998
Tsung-Chi Cheng
Principal supervisor: Anthony Atkinson
Thesis: Very robust statistics in the presence of missing data
H. M. Waisul Islam
Principal supervisor: Colm A. O'Muircheartaigh
Thesis: Estimating the undercount in the UK 1991 population census
Ji-Wook Jang
Principal supervisor: Angelos Dassios
Thesis: Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives
1996
Irini Moustaki
Principal supervisor: Colm A. O'Muircheartaigh
Thesis: Latent variable models for mixed manifest variables
Siem Jan Koopman
Principal supervisor: Andrew Harvey
Award: PhD
Thesis: Diagnostic checking and intra-daily effects in time series models
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
Principal supervisor: Andrew Harvey
Thesis: Heteroscedasticity in financial time series
1991
Leila Fuad Aboulela
Principal supervisor: David Bartholomew
Thesis: Stock and flow models for the Sudenese educational system
Mariane Streibel
Principal supervisor: Andrew Harvey
Thesis: Stochastic trends in simultaneous equation systems
1990
Maria-Theresinha Albanese
Principal supervisor: Martin Knott
Thesis: Latent variables model for binary response data
Ilias Kevork
Principal supervisor: David Balmer
Thesis: Confidence interval methods in discrete event computer simulation: theoretical properties and practical recommendations
Tan Hwee Kwan
Principal supervisor: Andrew Harvey
Thesis: Robust estimation for structural time series models
Pablo Marshall-Rivera
Principal supervisor: Andrew Harvey
Thesis: Analysis of a cross-section of time series using structural time series models
Ham-Mukasa Mulira
Principal supervisor: Anthony Atkinson
Thesis: Computational methods for transformations to multivariate normality
1989
Harilaos Lambropoulos
Principal supervisor: Celia Phillips
Thesis: Human capital and the demand for education in post-war Greece: incentives and rewards
Neil Graeme Shephard
Principal supervisor: Andrew Harvey
Thesis: Exact distribution theory for the maximum likely estimator of local trend models
1987
Cristiano Augusto Coelho Fernandes
Principal supervisor: Andrew Harvey
Thesis: Non-Gaussian structural time series models
Richard Donovan Wiggins
Principal supervisor: Colm A. O'Muircheartaigh
Thesis: A methodological investigation of non sampling error: interviewer variability and non response
1986
Jandyra Maria Guimarães Fachel
Principal supervisor: David Bartholomew
Thesis: The C-type distribution as an underlying model for categorical data and its use in factor analysis
Francisco Javier Fernandez Macho
Principal supervisor: Andrew Harvey
Thesis: Estimation and testing of multivariate structural time series models
Wilson Thinwa Wamani
Principal supervisor: David Bartholomew
Thesis: An empirical study of latent class models: application to criterion-referenced tests
1984
Ghali Abdellaoui-Maan
Principal supervisor: David Bartholomew
Thesis: Stochastic control in manpower planning
Peter Douglas Congdon
Principal supervisors: David Bartholomew and Celia Phillips
Thesis: Explanatory models for social and occupational mobility and their application to the 1973 Irish mobility study
Catherine Michalopoulou
Principal supervisor: Martin Knott
Thesis: Adaptive estimation using order statistics of sub-samples
1983
Aglaia Kalamatianou
Principal supervisor: David Bartholomew
Thesis: Generalised Markovian manpower models: theory and applications
1982
Juan Carlos Abril
Principal supervisor: Oscar Eduardo
Thesis: Asymptotic expansions for time series problems: with applications to moving average models
Hernandez-Rodriguez
Thesis: Statistical models of change in voting behaviour: a case study of Costa Rican elections, 1953-1978
1980
Christos C. Frangos
Principal supervisor: David Balmer
Thesis: Modified jack-knife methods in statistics with particular reference to second-order effects
Cristina Sernadas
Principal supervisor: David Bartholomew
Thesis: Multivariate Branching Processes
1976
Mohamed Nuruzzaman
Principal supervisor: Celia Phillips
Thesis: Education and educated manpower in Bangladesh : A study of development after the 1947 partition
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
Principal supervisor: Claus Moser
Thesis: Changes in subject choice at school and university
1966
Martin Knott
Principal supervisor: Alan Stuart
Thesis: Some multinomial and combinatorial problems