Angelos Dassios

Professor in Statistics

Contact details:
COL 6.14, Department of Statistics,  London School of  Economics, Houghton Street, London, WC2A 2AE, UK

Email: A.Dassios (@lse.ac.uk)

020 7955 7749

A copy of my CV 

Departmental Duties: PhD Programme Director

Programme Director (Actuarial Science)

Chair of Examiners Sub-board (Actuarial Science)



Courses Taught: ST226 Actuarial Investigations: Financial

ST301 Actuarial Mathematics: Life

ST303 Stochastic Simulation

ST306 
Actuarial Mathematics: General


Research interests:


Financial mathematics. Path dependent options. Quantile, Parisian and Asian options. Lévy models.
Stochastic calculus. Excursion theory.
Point processes. Doubly stochastic point processes. Hawkes processes. Dynamic contagion models. Applications in insurance.
Insurance mathematics. Ruin theory. Lévy models.
Stochastic simulation as appiled to financial and insurance mathematics. Exact simulation.
Non-parametric statistics. Tests of association.

I am usually looking for prospective PhD students that show initiative.  Any ideas combining two or more of these areas are especially welcome or even ideas outside them. You are advised to have a look at some of my papers before contacting me.

Publications:

Here is a list without links. Most of them, especially recent ones can be found at http://eprints.lse.ac.uk.  Alternatively look at google scholar and researchgate.


Recursive formula for the double barrier Parisian stopping time, 2018, to appear in the Journal of Applied Probability (with J.W. Lim).
 

Efficient Simulation of Clustering Jumps with CIR Intensity,
2017, to appear in Operations Research, (with H. Zhao).

Testing independence of covariates and errors in non-parametric regression, 2017, to appear  in the Scandinavian Journal of Statististics,
(with W. P. Bergsma and S.S. Dhar).

An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion, 2017, Methodology and Computing in Applied Probability, 19(1), 1-16, (with J.W.Lim)

A Generalised Contagion Process with An Application to Credit Risk 2017, International Journal of Theoretical and Applied Finance, 20(1), 1-33, (with H. Zhao).

The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing, 2016, Finance and Stochastics, 20(3), 773-804 (with Y. Zhang).

A study of the power and robustness of a new test for independence against contiguous alternatives, 2016, Electronic Journal of Statistics, 10 (1). pp. 330-351 (with W. P. Bergsma and S.S. Dhar).

An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options, 2015, Mathematical Finance doi:10.1111/mafi.12091 (with J.W.Lim).

A risk model with renewal shot-noise Cox process, 2015, Insurance: Mathematics & Economics, 65, 55–65 (with J. Jang and H. Zhao).

A consistent test of independence based on a sign covariance related to Kendall's tau, 2014, Bernoulli , 20(2), 1006-1028 (with W. P. Bergsma).

A Markov chain model for contagion , Risks 2014, 2, 434-455; doi:10.3390/risks2040434) (with H. Zhao).

Parisian option pricing: A recursive solution for the density of the Parisian stopping time, 2013, SIAM J. Financial Mathematics, 4(1), 599-615 (with J. W. Lim).

Stochastic boundary crossing probabilities for the Brownian motion, 2013, Journal of Applied Probability, 50(2), 419-429 (with X. Che).

Exact simulation of Hawkes process with exponential decaying Intensity, 2013, Electronic Communications in Probability , 18:0 http://ecp.ejpecp.org/article/view/2717 (with H. Zhao).

A risk model with delayed claims, 2013, Journal of Applied Probability, 50(3), 686-702 (with H. Zhao).

A bivariate shot noise process for insurance , 2013, Insurance Mathematics and Economics, 53(3), 524-532 (with J. Jang).

Ruin by Dynamic Contagion Claims, 2012, Insurance Mathematics and Economics, 51(1), 93-106 (with H.Zhao).

Double barrier Parisian options , 2011, Journal of Applied Probability , 48(1), 1-20 (with S. Wu).

A dynamic contagion process, 2011, Advances in Applied Probability , 43(3), 814-846 (with H. Zhao).

A double shot noise process and its application in insurance , 2011, Journal of Mathematics and System Science. (with J. Jang).

Perturbed Brownian motion and its application to Parisian option pricing, 2010, Finance and Stochastics , 14, 473-494 (with S. Wu).

On barrier strategy dividends with Parisian implementation delay for classical surplus processes, 2009, Insurance Mathematics and Economics, 45, 195-202 (with S. Wu).

The distribution of the interval between events of a Cox process with shot noise intensity, Journal of Applied Mathematics and Stochastic Analysis, 2008, Article ID 367170 (with J. Jang)

Bonds and options valuation using a conditioning factor approach , Management Dynamics, 2007, 7(2), 25-69 (with S. Basu).

The square root process and Asian options, Quantitative Finance, 2006, 6(4), 337-347. (with J. Nagaradjasarma).

On the quantiles of the Brownian motion and their hitting times, 2005, Bernoulli, 11(1), 29-36.

Kalman-Bucy filtering for linear system driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts, 2005, Journal of Applied Probability, 42(1), 93-107 (with J. Jang).

Pricing of catastrophe reinsurance & derivatives using the Cox process with shot noise intensity, 2003, Finance and Stochastics , 7(1), 73-95 (with J. Jang).

Cox process with log-normal density, 2002, Insurance, Mathematics and Economics, 31(2), 297-302 (with S. Basu).

Interpreting the Beta-Geometric in comparative fecundability studies, 1998, Biometrics, 54(1), 140-146 (with R. Crouchley).

Sample quantiles of additive renewal reward processes, 1996, Journal of Applied Probability, 33, 1018-1032.

Sample quantiles of stochastic processes with stationary and independent increments and of sums of exchangeable random variables, 1996, Annals of Applied Probability, 6(3), 1041-1043.

The distribution of the quantiles of a Brownian motion with drift and the pricing of related path dependent options, 1995, Annals of Applied Probability, 5(2), 389-398.

Martingales and insurance risk, 1989, Communications in Statistics, Stochastic Models, 5(2), 181-217, (with P. Embrechts).


 
Here are links to a few of my papers as well as some working papers:



Recursive formula for the double barrier Parisian stopping time (with J.W.Lim).

Efficient simulation of clustering jumps with CIR intensity (with H. Zhao).

An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (with J.W.Lim).

A dynamic contagion process (with H. Zhao).

Double-barrier Parisian options (with S. Wu).

On barrier strategy dividends with Parisian implementation delay for classical surplus processes  (with S. Wu).

Point processes with contagion  and an application to credit risk (with H. Zhao).

A Dynamic contagion Process and an application to credit risk (with H.Zhao).

Ruin by dynamic contagion claims (with H.Zhao).

Ruin by delayed claims (with H.Zhao).

Perturbed Brownian motion and its application to Parisian option pricing (with S. Wu).

Barrier strategies with Parisian delay (with S.Wu).

Parisian ruin with exponential claims (with S.Wu).

Ruin probabilities of the Parisian type for small claims (with S.Wu).

Brownian excursions in a corridor and related Parisian options (with S.Wu).

Brownian excursions outside a corridor and two-sided Parisian options (with S.Wu).

Two sided Parisian options with a single barrier (with S.Wu).

Semi-Markov model for Excursions and Occupation time of Markov processes (with S.Wu).

The distribution of the interval between events of a Cox process with shot-noise intensity (with J. Jang).

On the quantiles of the Brownian motion and their hitting times.

Pricing of Asian options on interest rates  in the CIR model (with J.Nagaradjasarma).

The square root process and Asian options (with J. Nagaradjasarma).

Quantiles of Levy processes and applications in finance (a review)

On the quantiles of the Brownian motion and their hitting times.

Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (with J. Jang).

A Cox Process with Log-Normal Intensity (with S. Basu).