Erik Baurdoux Associate Professor in Statistics Deputy Head of Department (Teaching)

Office: Columbia House, Col 6.04 Post: Department of Statistics London School of Economics Houghton Street London, WC2A 2AE United Kingdom Phone: +44 (0)20 7955 6717 Fax: +44 (0)20 7955 7416 Email: e.j.baurdoux Member of the Risk and Stochastics Group Bernoulli Society Web Editor

Research Interests

• Lévy processes.
  
• Optimal stopping problems.
  
• Stochastic games.
  
• Financial and insurance mathematics.
  

Recent publications and preprints

• On Future Drawdowns of Lévy processes (with Zbigniew Palmowski and Martijn Pistorius) Submitted.
  
• Optimal prediction for positive self-similar Markov processes (with Andreas Kyprianou and Curdin Ott) Submitted.
  
• Gerber-Shiu functionals at Parisian ruin for Lévy insurance risk processes (with Juan Carlos Pardo, José Luis Pérez and Jean-François Renaud) Journal of Applied Probability 53.2 (2016), To appear
  
• Optimal double stopping of a Brownian bridge (with Nan Chen, Budhi A. Surya and Kazutoshi Yamazaki) Advances in Applied Probability 47.4 (2015), To appear.
  
• Optimality of doubly reflected Levy processes in singular control (with Kazutoshi Yamazaki). Stochastic Processes and their Applications 125 (2015), pp. 2727-2751.
  
• Predicting the time at which a Lévy process attains its ultimate supremum (with Kees van Schaik) Acta Applicandae Mathematicae 134 (2014), pp. 21-44.
  

Teaching 2016/2017

• LT: ST330 Stochastic and Actuarial Methods in Finance
  
• LT: ST426 Applied Stochastic Processes. The course Moodle page is here.
  

Courses Taught

• EC112 Essential Statistics for Economics and Econometrics
  
• ST202 Probability, Distribution Theory and Inference
  
• ST227 Survival Models
  
• ST330 Stochastic and Actuarial Methods in Finance
  
• ST419 Computational Statistics
  
• ST432.2 Lévy Finance
  
• ST435 Advanced Probability Theory
  
• ST426 Applied Stochastic Processes
  
• ST440 Recent Developments in Finance and Insurance
  
• LTCC Course Optimal Stopping and Lévy Processes
  

Slides IoP talk

• Here are the slides of a talk I gave at the Research on Stigma and Discrimination HSPR Summer School July 2013 at the Institute of Psychiatry, King's College. For further information about the anti stigma campaign, please go to Time to Change or send me an email.

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