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Allam, Sabina - MSc Administrator, Department of Statistics, LSE
Responsibilities: Administering MSc in Statistics and MSc in Risk & Stochastics; postgraduate admissions; departmental seminar programme; web editor.
Contact details: Room B611, +44 (0)20 7955 6879, S.Allam@lse.ac.uk
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Barrieu, Pauline (Dr) - Reader in Statistics, LSE
Research: Illiquid and incomplete financial markets; Real options; Contract designing; Environmental economics; Risk measures.
Further information: Staff page and Experts
Contact details: Room B603, +44 (0) 20 7955 6016, p.m.barrieu@lse.ac.uk
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Baurdoux, Erik (Dr) - Lecturer in Statistics, LSE
Research: Optimal Stopping; Stochastic Games; Lévy Processes; Financial and Insurance Mathematics
Further information: staff page
Contact details: Room B604, +44 (0) 20 7955 6717, e.j.baurdoux@lse.ac.uk
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Cetin, Umut (Dr) - Reader in Statistics, LSE
Research: Liquidity risk; Credit risk; Fundamental theorem of asset pricing in markets with frictions; Asymmetric information; Utility maximisation.
Further information: Staff page
Contact details: Room B608, +44 (0) 20 7955 7644, u.cetin@lse.ac.uk
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Dassios, Angelos (Dr) - Reader in Statistics, LSE
Research: Quantiles of stochastic processes; Levy processes and their excursions; Ruin theory; Dependence models for default risk; Cox processes; Markov modulated Levy processes.
Further information: Staff page and Experts
Contact details: Room B606, +44 (0) 20 7955 7749, a.dassios@lse.ac.uk
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Kiesel, Rüdiger (Professor) - Professor of Finance, University of Ulm. Visiting Professor, LSE
Research: Credit Risk; Derivatives (Credit and Energy); Valuation of Insurance Contract; Securitisation.
Further information: Personal page
Contact details: 0049 731 50 23520, kiesel@mathematik.uni-ulm.de
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Norberg, Ragnar (Professor) - Emeritus Professor LSE, Research Professor Universite Claude Bernard Lyon 1
Research: Risk theory; Insurance mathematics - life and non-life; Financial mathematics; Related problems in probability and statistics.
Further information: http://isfa.univ-lyon1.fr/~norberg/
Contact details: r.norberg@lse.ac.uk
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Rheinlander, Thorsten (Dr) - Reader in Statistics, LSE
Research: Hedging in incomplete markets; Stochastic mortality; Market imperfections.
Further information: Staff page
Contact details: Room B609, +44 (0) 20 7955 7169, t.rheinlander@lse.ac.uk
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Schmidt, Rafael (Dr) - Assistant Professor, University of Cologne. Tutorial Fellow in Statistics, LSE
Research: Multivariate statistics; dependence modelling (copula theory); nonparametric statistics; multivariate extreme value theory; credit/market risk modelling; Risk based pricing; population economics; industrial research projects.
Contact details: Rafael.Schmidt@uni-koeln.de
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Stanford, David (Professor) - Associate Member
Research: Queues; Risk processes; Matrix analytic methods.
Contact details: stanford@stats.uwo.ca
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Steffensen, Mogens (Dr) - Associate Professor of Insurance Mathematics, University of Copenhagen. Tutorial Fellow in Statistics, LSE
Research: Market-valuation methods in life insurance; Stochastic control in life insurance; Accounting and regulation in life insurance; Pricing and portfolio optimisation in markets with defaultable bonds; Personal finance under health and lifetime uncertainty.
Further information: Mogens Steffensen's home page
Contact details: 0045 35320789, mogens@math.ku.dk
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Teugels, Jozef L (Professor) - Emeritus Professor, Catholic University of Leuven.
Further information: Jozef L. Teugels
Contact details: jef.teugels@wis.kuleuven.be
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Touzi, Nizar (Professor) - Professor in Applied Mathematics, Imperial College. Visiting Professor, LSE
Research: Mathematical finance; Stochastic control; Monte Carlo methods.
Further information: Nizar Touzi
Contact details: touzi@ensae.fr
PhD students
Our PhD students, both past and present, are important players in the academic life of the Risk and Stochastics Group. The following PhD students are currently under supervision by members of RSG Academic Staff
Che, Xiaonan
Research topic/title: Markov typed model of real time gross settlement payment system
Contact details: x.che@lse.ac.uk|, Room B501
Supervisor(s): Dassios/Baurdoux
Chen, Dan
Research topic/title: Stochastic analysis and its application to finance and insurance
Contact details: Room B501
Supervisor(s): Rheinlander/Cetin
Giammarino, Flavia
Research topic/title: Risk measures, Preference representations and Robustness
Further information: Personal homepage|
Contact details: f.giammarino@lse.ac.uk|, Room B715
Supervisor(s): Barrieu/Yao
Higgins, Sarah
Research topic/title: The link between weather and global cereal prices
Contact details: s.higgins@lse.ac.uk|, Room B717
Supervisor(s): Smith/Barrieu
Jimenez-Huerta, Diego
Research topic/title: Applications of stochastic Geometry (point processes) in (re)insurance
Contact details: d.jimenez-huerta@lse.ac.uk|, Room B501
Supervisor(s): Norberg/Dassios
Lim, Jia Wei
Research topic/title:
Further information:
Contact details: j.w.lim1@lse.ac.uk|, Room Y016
Supervisor(s): Dassios
Riccardi, Filippo
Research topic/title: Energy Markets
Contact details: f.riccardi@lse.ac.uk|, Room Y016
Supervisor(s): Rheinlander
Sculli, Pauline
Research topic/title: Contagion in affine default processes
Further information: Personal home page|
Contact details: p.k.sculli@lse.ac.uk|,
Supervisor(s): Dassios/Barrieu
Sheynzon, Ilya
Research topic/title: Continuous time modelling of market liquidity, hedging and crashes
Contact details: i.sheynzon1@lse.ac.uk|, Room Y016
Supervisor(s): Cetin/Rheinlander
Tobelem, Sandrine
Research topic/title: Robust asset allocation under model uncertainty
Contact details: s.e.tobelem@lse.ac.uk|
Supervisor(s): Barrieu/Norberg
Yamada, Takeshi
Research topic/title: Approximation of interest rate derivatives and the spot and forward relationship in carbon emission markets
Contact details: t.yamada@lse.ac.uk|, Room B715
Supervisor(s): Dassios/Cetin
Zhao, Hongbiao
Research topic/title: Dynamic contagion process with its application in credit risk
Further information: Personal home page|
Contact Details: H.Zhao1@lse.ac.uk|, Room B501
Supervisor(s): Dassios/Rheinlander