Past PhD students

Patrick Aschermayr
Principal Supervisor: Kostas Kalogeropoulos
Thesis: Bayesian Inference on State Space Models

Camilo Cárdenas Hurtado
Principal Supervisor: Irini Moustaki
Thesis: Generalised latent variable models for location, scale, and shape parameters

Zezhun Chen
Principal Supervisor: Angelos Dassios
Thesis: Point processes and integer-value models

Gianluca Giudice
Principal Supervisor: Kostas Kalogeropoulos
Thesis: Nonlinear dynamic factor models

Yirui Liu
Principal Supervisor: Qiwei Yao
Thesis: Three Essays in Bayesian Nonparametric Machine Learning. 

Filippo Pellegrino
Principal Supervisor: Kostas Kalogeropoulos
Thesis: Essays on asynchronous time series and related multidimensional data

Ragvir Sabharwal
Principal Supervisor: Irini Moustaki
Thesis: On Factor Models for High-Dimensional Time Series

Jing Han Tee
Principal Supervisor: Angelos Dassios
Thesis: Interrupted Brownian motion and other related processes

Jialin Yi
Principal Supervisor: Milan Vojnovic
Thesis: Regret-minimization Algorithms for Multi-agent Cooperative Learning Systems

Kaifang Zhou
Principal Supervisor: Milan Vojnovic
Thesis: Statistical inference for some choice models 

Rico Blaser
Principal Supervisor: Piotr Fryzlewicz
Thesis: Random rotations in machine learning

Cheng Chen
Principal Supervisor: Xinghao Qiao
Thesis: Autocovariance-based Statistical Interfence for High-Dimensional Functional/Scalar Time Series

Tomasz Dubiel-Teleszynski                                                            Principal Supervisor: Kostas Kalogeropoulos
Thesis: Bayesian Sequential Inference and Machine Learning Applied to Yield Curve Forecasting

Qin Fang                                                                              
Principal Supervisor: Xinghao Qiao
Thesis: High-dimensional functional data/time series: finite-sample theory, adaptive functional thresholding and prediction

Anica Kostic                                                                          
Principal Supervisor: Piotr Fryzlewicz
Thesis: On change-point perspectives in multiple testing and weak signal inference

Yan Lu                                                                              
Principal Supervisor: Irini Moustaki   
Thesis: Multivariate Outlier Detection in Latent Variable Models

Despoina Makariou
Principal Supervisor: Pauline Barrieu
Thesis: Development and application of statistical learning methods in insurance and finance

Alexandra Tsimbalyuk
Principal Supervisor: Kostas Kardaras
Thesis: Efficient estimation of present-value distributions for long-dated contracts and functionals in the multivariate case

Konstantinos Vamvourellis 
Principal Supervisor: Kostas Kalogeropoulos
Thesis: Bayesian inference for latent variable modelling

Yiliu Wang                                                                      
Principal Supervisor: Milan Vojnovic
Thesis: Relational learning for set value functions

Tianlin Xu
Principal Supervisor: Wicher Bergsma
Thesis: Generative Adversarial Networks for Sequential Learning

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

Xiaolin Zhu
Principal supervisor:  Angelos Dassios
Thesis: Excursion theory and local times for Bessel and Brownian diffusions: with applications to credit risk

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    

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Aglaia Kalamatianou
Principal supervisor: David Bartholomew
Thesis: Generalised Markovian manpower models: theory and applications

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

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

Mohamed Nuruzzaman
Principal supervisor: Celia Phillips
Thesis: Education and educated manpower in Bangladesh : A study of development after the 1947 partition

Eleftkerios G. Charatsis
Thesis: Statistical methods for estimation of production functions: a cross-section and time-series analysis of the Greek manufacturing industry

Celia Mary Phillips
Principal supervisor: Claus Moser
Thesis: Changes in subject choice at school and university

Martin Knott
Principal supervisor: Alan Stuart
Thesis: Some multinomial and combinatorial problems