Angelos Dassios

Contact details:
Room COL 6.14

Email: A.Dassios (

020 7955 7749

A copy of my CV  

Departmental Duties:
Chair of Examiners Sub-board (Actuarial Science)


Office Hours:

 Please look at my door (on sabbatical leave during the Lent term)

Courses Taught:




Course Materials:

ST226:  See  moodle


ST306:  See   moodle



Stochastic Processes

Applied Probability

Mathematical Finance

Applications of Stochastic Models in Insurance.

For details  see my CV.

I am always looking for prospective PhD students that show initiative. Please contact me. I attach a file with my research interests. Any ideas combining two or more of these areas are especially welcome or even ideas outside them.

Useful Links: For a list of publications see my CV.

For links to my papers see

Some  Older Papers Online (alternatively go to and search for me):

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).

Institute of Actuaries:

Support free software

M.Sc. in Risk and Stochastics 

Other Information: Born in Athens, Greece where I went to school.
Higher Education: Trinity College, Cambridge and Imperial College, London.
Before joining LSE I briefly worked as a research officer at Imperial College.
Interests: Reading, Going out, Travel, Chess.