Academic Staff

 

Dr Athanasios A. Pantelous

Dr Athanasios A. Pantelous is the director of IFAM and a Reader of Statistics and Probability Theory in the Department of Mathematical Sciences. His research interests are:

  • Control Theory (Stochastic and Deterministic)
  • (Numerical) Linear Algebra (Matrix Pencil Theory)
  • Actuarial & Financial Mathematics
See also personal website.
 

Dr Hirbod Assa

Dr Hirbod Assa is a lecturer in the Department of Mathematical Sciences. His research interests are:

  • Mathematical finance
  • Hedging and Pricing
  • Actuarial mathematics
  • Agricultural economics and finance
See also personal website.
 

Prof Nick Bingham

Professor Nick Bingham is a research fellow in the Department of Mathematical Sciences and a Professor of mathematics at Imperial College London. His research interests are:

  • Topological regular variation
  • Stationary processes and prediction theory
  • Levy and other models in mathematical finance

See also personal website.
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Dr Carmen Boado-Penas

Dr Carmen Boado-Penas is a lecturer in the Department of Mathematical Sciences. Her research interests are:

  • Pay-As-You-Go pension finance. In particular: Notional Defined Contribution Accounts (NDC’s), Actuarial Balance and Automatic Balance Mechanisms
  • Long-Term Care Expenditure
  • Mortality Modelling

See also personal website.

Dr Corina Constantinescu

Dr Corina Constantinescu is a lecturer in the Department of Mathematical Sciences. Her research interests are:

  • Actuarial Mathematics
  • Risk theory
  • Risk Analysis, Ruin and Extremes (RARE)
See also personal website.

Dr Bujar Gashi

Dr Bujar Gashi is a lecturer in the Department of Mathematical Sciences. His research interests are:

  • Control theory and its application. In particular: stochastic control, robust control, stochastic controllability, and descriptor stochastic differential equations
  • Optimal investment and consumption, interest rate modelling, and fixed-income derivatives
See also personal website.

Dr Olivier Menoukeu Pamen

Dr Olivier Menoukeu Pamen is a lecturer in the Department of Mathematical Sciences. His research interests are:

  • (Backward) Stochastic differential equations (SDE)
  • Malliavin calculus and applications to SDE and mathematical finance
  • Stochastic control theory and application to mathematical finance

See also personal website.

Dr Apostolos Papaioannou

Dr Apostolos Papaioannou is a lecturer in the Department of Mathematical Sciences. His research interests are:

  • Ruin probabilities in dependent risk models
  • Catastrophe bonds
  • Actuarial modelling
See also peronal website. 

Dr David Siska

Dr David Siska is a lecturer in the Department of Mathematical Sciences. His research interests are:

  • Numerical approximations for stochastic and deterministic nonlinear evolution equations
  • Numerical approximations for the nonlinear partial differential equations arising in stochastic control theory
  • Interest rate derivatives and term structure models
See also personal website.

PhD Students

 

 

Jenna Birch

Ms Jenna Birch is working under joint supervision of Dr Pantelous and Dr Zuev (Institute for Risk and Uncertainty) on "Optimal Strategies for the Unsecured Overnight Interbank Loan Markets Using the Probabilistic Network Theory". 
 

 

Yuyin Chen

Mr Yuyin Chen is working under supervision of Dr Gashi on "Robust stochastic control with applications to pricing and hedging".

 

Suhang Dai

Mr Suhang Dai is working under joint supervision of Dr Menoukeu Pamen and Dr Siska on "Stochastic control and applications to insurance". 
 

 

Fan Fei

Mr Fan Fei is working under supervision of Dr Gashi on "Optimal investment with stochastic interest rate".

Vasileios Fragkoulis

Mr Vasileios Fragkoulis is working under joint supervision of Dr Pantelous and Dr Kougioumtzoglou (Institute for Risk and Uncertainty) on "Numerical techniques for stochastic non-linear systems with applications to Generalized Insurance”. 
 

 

Humberto Godinez Olivares

Mr Humberto Godinez Olivares is working under joint supervision of Dr Pantelous and Dr Boado-Penas on "Dynamic Modelling and Stability in Social Security Schemes".  
 

 

Haochen Hua

Mr Haochen Hua is working under supervision of Dr Gashi on "Risk-sensitive control of stochastic systems with Markovian switching and other model uncertainties".
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Vincent Kwasnica

Mr Vincent Kwasnica is working under joint supervision of Dr Pantelous and Prof Halikias (City University, London, UK) on "Potential implications of the reduced-rank integer quadratic theory in graph theory". 
 

 

Jiajie Li

Mr Jiajie Li is working under supervision of Dr Gashi on "Backward stochastic differential equations and optimal investment with stochastic interest rate".
 

 

Rong Li

Ms Rong Li is working under supervision of Dr Gashi on "Differential equations driven by rough paths and their application to control".
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John McCarthy

Mr John McCarthy is working under joint supervision of Dr Kougioumtzoglou (Institute for Risk and Uncertainty) and Dr Panteous on "A stochastic framework for optimal pricing insurance strategies".
 Poontavika Naka

 

Poontavika Naka

Ms Poontavika Naka is working under joint supervision of Dr Boado-Penas and Dr Pantelous on "Valuing the long term care expenditure in face of the longevity risk". 
 

 

Weihong Ni

Ms Weihong Ni is working under supervision of Dr Constantinescu on "Risk models with premiums dependent on claims history". 
 

 

Eudokia Passalidou

Ms Eudokia Passalidou is working under supervision of Dr Pantelous on "Optimal pricing strategies for Non-Life products into a competitive insurance market". 
 

 

Jia Shao

Ms Jia Shao is working under joint supervision of Dr Pantelous and Dr Papaioannou on "Modelling Earthquake Catastrophe Bonds and Alternative Risk Transfer Techniques". 

Renchao Wu

Mr Renchao Wu is working under joint supervision of Dr Pantelous, Dr Papaioannou and Dr Pelosse (Management School) on " A game theory approach for pricing of Non-Life insurance policies into a competitive market environment”.
 

 

Jing Xie

Ms Jing Xie is working under supervision of Dr Gashi on "Risk-sensitive control and interest rate modelling".
 

 

Yuxin Xie

Mr Yuxin Xie is working under supervision of Dr Pantelous on "A system and control theoretic approach to behavioural finance". 
 

 

Lin Yang

Mr Lin Yang is working under supervision of Dr Pantelous on "Linear Robust Hoo Stochastic Control Theory on the Insurance Pricing Processes". 
 

 

Moyu Zhang

Ms Moyu Zhang is working under supervision of Dr Gashi on "Exact controllability and optimal investment for jump-diffusions".

 

Wei Zhu

Mr Wei Zhu is working under supervision of Dr Constantinescu on "Fractional calculus in risk theory".