Prospectus_2012_9617_1366x768_16-9_sRGBe

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.

Statistics is enduringly and increasingly important for making sense of the enormous amounts of data in today’s world

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
ThesisOptimal 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
ThesisAnalysis of multivariate longitudinal categorical daya subject to non-random missingness; a latent variable approach

Sarah Higgins
Principal supervisor: Leonard Smith
ThesisLimitations 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 supervisorKostas 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
ThesisDiagnostic checking and intra-daily effects in time series models


1992

Antonio Carlos Monteiro Ponce De Leon
ThesisOptimum 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
ThesisStatistical 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
ThesisStatistical 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