Probability in Finance and Insurance

The beauty of Statistics is that if you can take a large enough group of people, you can predict really well what the outcome will be overall

Our research in Probability in Finance and Insurance covers diverse aspects in quantitative modelling in finance, insurance, and risk management. Current areas include robust models on option pricing; model-uncertainty in decision making; valuation financial derivatives with exotic features; equilibrium with market constraints and informational asymmetry; optimal trading with micro-structure noise; insurance securitisation; contagion in financial and insurance markets; modelling energy and commodity markets.

Academic staff

Beatrice Acciaio - Associate Professor

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Pauline Barrieu - Professor

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Erik Baurdoux - Associate Professor

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Luciano Campi - Associate Professor

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Umut Cetin - Professor

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Angelos Dassios - Professor

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Kostas Kardaras - Professor

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Research students

Patrick Aschermayr 

Research topic/title: Bayesian inference in hidden semi-Markov models
Contact details:, Room COL 5.02
Supervisor(s): Dr. Kostas Kalogeropoulos / Professor Pauline Barrieu

Zezhun Chen

Contact details:, Room COL 1.0
Supervisor(s):Professor Angelos Dassios / Dr. Erik Baurdoux

Quoc Viet Dang

Research topic/title: Optimal Transport and the Principal-Agent Problem
Contact details:, Room COL 5.06
Supervisor(s):  Dr Hao Xing / Professor Pauline Barrieu

Davide De Santis

Research topic/title: Dynkin Games with Information Asymmetry
Contact details:, Room COL 7.03
Supervisor(s):  Dr Luciano Campi / Dr Hao Xing

Reinhard Fellmann

Research topic/title: Risk and stability in complex economic and financial systems
Contact details:, Room COL 5.02
Supervisor(s): Dr Erik Baurdoux /  Dr Andrea Vedolin (Department of Finance)

Eduardo Ferioli-Gomes

Contact details:, Room COL 1.0
Supervisor(s): Professor Umut Cetin / Dr Luciano Campi

Junchao Jia

Research topic/title: 
Contact details:, Room COL 5.02
Dr Beatrice Acciaio / Professor Kostas Kardaras 

Despoina Makariou

Research topic/title: 
Contact details:, COL 5.02
Supervisor(s): Professor Pauline Barrieu / Dr. Beatrice Acciaio  

Jose Manuel Pedraza Ramirez

Research topic/title: Levy Processes and Optimal Stopping
Contact details:, Room COL 7.03
Supervisor(s):  Dr Erik Baurdoux / Dr Beatrice Acciao

Alice Pignatelli Di Cerchiara

Research topic/title:  
Contact details:, Room COL 5.06
Supervisor(s): Dr Erik Baurdoux / Professor Angelos Dassios

Jing Han Tee

Research topic/title:  
Contact details:, Room 5.02
Supervisor(s):  Professor Angelos Dassios / Dr. Luciano Campi

Alexandra Tsimbalyuk

Research topic/title:  Distribution of a perpetuity in an ergodic Markov model
Contact details:, Room 7.03
Supervisor(s): Professor Kostas Kardaras / Professor Umut Cetin

Junyi Zhang

Research topic/title:  
Contact details:, Room COL 5.02
Supervisor(s):  Professor Angelos Dassios/ Dr. Beatrice Acciaio

Xiaolin Zhu

Research topic/title:  The hitting time of Ornstein-Uhlenbeck process and more complicated mean-reverting type process
Contact details: Room COL 5.06
Supervisor(s):  Professor Angelos Dassios / Dr Hao Xing