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LSE Statistics
United Kingdom
เข้าร่วมเมื่อ 19 พ.ค. 2016
Welcome to the Department of Statistics at the London School of Economics & Political Science. The department enjoys a vibrant research environment and offers a comprehensive programme of undergraduate and postgraduate degrees in Statistics.
Our TH-cam account provides videos from selected events, such as the annual Risk and Stochastics Conference.
Our TH-cam account provides videos from selected events, such as the annual Risk and Stochastics Conference.
LSE Statistics - PhD Open Day, 28 Nov 2022
The Department of Statistics at the London School of Economics and Political Science is one of the world's leading centres of quantitative methods in the social sciences and has long been home to some of the world's most famous and innovative statisticians.
Watch this video to see talks from our 2022 PhD Open Day and learn more about studying our MPhil/PhD in Statistics.
00:00 Introduction
28:26 Research area overview: Data Science - Professor Milan Vojnovic
42:56 Research area overview: Time Series and Statistical Learning - Dr Yining Chen
1:02:14 Research area overview: Social Statistics - Dr Sara Geneletti
1:23:18 Research area overview: Probability in Finance and Insurance - Dr. Yufei Zhang
1:34:06 How to write a research proposal - Professor Milan Vojnovic
1:59:41 Academic alumni speaker - Dr Despoina Makariou (University of St. Gallen)
2:21:30 Industry alumni speaker - Dr Davide De Santis (J.P. Morgan)
Watch this video to see talks from our 2022 PhD Open Day and learn more about studying our MPhil/PhD in Statistics.
00:00 Introduction
28:26 Research area overview: Data Science - Professor Milan Vojnovic
42:56 Research area overview: Time Series and Statistical Learning - Dr Yining Chen
1:02:14 Research area overview: Social Statistics - Dr Sara Geneletti
1:23:18 Research area overview: Probability in Finance and Insurance - Dr. Yufei Zhang
1:34:06 How to write a research proposal - Professor Milan Vojnovic
1:59:41 Academic alumni speaker - Dr Despoina Makariou (University of St. Gallen)
2:21:30 Industry alumni speaker - Dr Davide De Santis (J.P. Morgan)
มุมมอง: 449
วีดีโอ
Capital allocation under the Fundamental Review of Trading book - Prof. Hao Xing
มุมมอง 5115 ปีที่แล้ว
Video presentation by Professor Hao Xing, Department of Statistics, London School of Economics and Political Science (LSE)
Value adjustment and dynamic hedging of reinsurance counterparty risk - Katia Colaneri
มุมมอง 5235 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2019 by Katia Colaneri, University of Leeds Abstract: We study value adjustments and hedging for reinsurance counterparty risk, that is the risk that a reinsurer is unable to fulfil his contractual obligations towards the insurer. We propose a novel model that takes contagion effects between the default of the reinsurer and the price of th...
Picking Winners: From Venture Capital to Fantasy Sports - Tauhid Zaman
มุมมอง 5975 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2019 by Tauhid Zaman, MIT (Sloan School of Management)
Viability and Arbitrage under Knightian Uncertainty - Frank Riedel
มุมมอง 4505 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2019 by Frank Riedel, Bielefeld University. Abstract: We reconsider the microeconomic foundations of financial economics under Knightian Uncertainty. We do not assume that agents (implicitly) agree on a common probabilistic description of the world. We rather base our analysis on a common ordering of contracts, a much weaker requirement. T...
Equilibrium asset pricing with transaction costs by Johannes Muhle Karbe
มุมมอง 5505 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2019 by Johannes Muhle Karbe, Imperial College London. Abstract: In the first part of the talk, we study risk-sharing equilibria where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled forward-backward...
Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough) by Giorgia Callegaro
มุมมอง 3125 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2019 by Giorgia Callegaro, University Of Padova. Abstract: We solve a family of fractional Riccati differential equations with constant (possibly complex) coefficients. These equations arise, e.g., in fractional Heston stochastic volatility models, that have received great attention in the recent financial literature thanks to their abilit...
R&S Conference - Martino Grasselli
มุมมอง 3066 ปีที่แล้ว
'A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors' Presentation at the LSE Risk and Stochastics Conference 2018 by Martino Grasselli, Padova Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor (“roll-over risk”), we construct a stochastic model framework for the term structure of interest ra...
R&S Conference - Damir Filipovic
มุมมอง 4406 ปีที่แล้ว
'On the Relation between Linearity-Generating Processes and Linear-Rational Models' Presentation at the LSE Risk and Stochastics Conference 2018 by Damir Filipovic, EPFL and Swiss Finance Institute. We review the notion of a linearity-generating (LG) process introduced by Gabaix (2007) and relate LG processes to linear-rational (LR) models studied by Filipovic, Larsson, and Trolle (2017). We sh...
State constrained optimal control problems via reachability approach by Athena Picarelli
มุมมอง 5806 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2018 by Athena Picarelli, Imperial This work deals with a class of stochastic optimal control problems in the presence of state constraints. It is well known that for such problems the value function is, in general, discontinuous, and its characterisation by a Hamilton-Jacobi equation requires additional assumptions involving an interplay ...
On continuous time games with asymmetric information by Catherine Rainer
มุมมอง 2946 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2018 by Catherine Rainer, Brest I'll try in this talk to present the main ideas on zero-sum continuous time games where one of the two players has some private information: how to formalize these games, the associated Hamilton-Jacobi-Isaacs-equation and the analyse of the optimal revelation in terms of an optimization problem over a set of...
Pricing and Hedging in rough volatility models by Antoine Jacquier
มุมมอง 2.5K6 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2018 by Antoine Jacquier, Imperial We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approximations for computing option prices and hedge ratios in models where log-volatility follows a Gaussian Volterra process. While providing a good fi...
R&S Conference - Dimitrina Dimitrova
มุมมอง 2066 ปีที่แล้ว
'On the double boundary non-crossing probability for a class of compound risk processes with applications' Presentation at the LSE Risk and Stochastics Conference 2018 by Dimitrina Dimitrova, Cass. We present explicit formulas and a numerically efficient method for computing the probability that a non-decreasing, pure jump stochastic risk process will not exit the strip between two time-depende...
Capitalising on pensions freedom: reinventing the life annuity by Catherine Donnelly
มุมมอง 1746 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2018 by Catherine Donnelly, Heriot Watt. Pensions freedom has meant that people no longer have to buy a life annuity contract with their retirement savings. However, there are advantages to life annuities that may not be apparent to the average consumer. We propose a way of making the main advantage - the increase in income due to mortalit...
VIX derivatives in rough forward variance models by Stefano De Marco
มุมมอง 1.6K6 ปีที่แล้ว
Presentation at the LSE Risk and Stochastics Conference 2018 by Stefano De Marco, École Polythechnique. Recently proposed models for the forward variance and the spot value of the SP500 stock index based on fractional Volterra processes specifically, the so called “rough Bergomi model” of Bayer, Friz, Gatheral 2016 are not able to account for smiles of options on VIX (the major implied volatili...
Simple Transaction Cost Bounds by Bruno Bouchard
มุมมอง 2866 ปีที่แล้ว
Simple Transaction Cost Bounds by Bruno Bouchard
Careers with a Statistics PhD - LSE Alumni Panel
มุมมอง 11K7 ปีที่แล้ว
Careers with a Statistics PhD - LSE Alumni Panel
Variable annuities with high water mark withdrawal benefit by Patrick Cheridito
มุมมอง 4497 ปีที่แล้ว
Variable annuities with high water mark withdrawal benefit by Patrick Cheridito
On a Portfolio Selection Problem using Individual Performance Scores by Milan Vojnovic
มุมมอง 4547 ปีที่แล้ว
On a Portfolio Selection Problem using Individual Performance Scores by Milan Vojnovic
Price impact in the Kyle-Back equilibrium model by José Manuel Corcuera Valverde
มุมมอง 1K7 ปีที่แล้ว
Price impact in the Kyle-Back equilibrium model by José Manuel Corcuera Valverde
The Extended Surface SVI (eSSVI) Model by Claude Martini
มุมมอง 2.5K7 ปีที่แล้ว
The Extended Surface SVI (eSSVI) Model by Claude Martini
Probability Weighting, Stop-Loss and the Disposition Effect by Vicky Henderson
มุมมอง 8517 ปีที่แล้ว
Probability Weighting, Stop-Loss and the Disposition Effect by Vicky Henderson
Some remarks on functionally generated portfolios by Johannes Ruf
มุมมอง 1.3K7 ปีที่แล้ว
Some remarks on functionally generated portfolios by Johannes Ruf
Rough volatility: An overview by Jim Gatheral
มุมมอง 17K7 ปีที่แล้ว
Rough volatility: An overview by Jim Gatheral
Moral hazard, limited liability and golden parachutes Dylan Possamaï
มุมมอง 3897 ปีที่แล้ว
Moral hazard, limited liability and golden parachutes Dylan Possamaï
LSE Risk & Stochastics Conference Introduction
มุมมอง 3837 ปีที่แล้ว
LSE Risk & Stochastics Conference Introduction
Dynamic Programming for Multivariate Problems by Birgit Rudloff
มุมมอง 5837 ปีที่แล้ว
Dynamic Programming for Multivariate Problems by Birgit Rudloff
Erhan Bayraktar - On the Market Viability under Proportional Transaction Costs
มุมมอง 8428 ปีที่แล้ว
Erhan Bayraktar - On the Market Viability under Proportional Transaction Costs
Eckhard Platen - Benchmark Approach to Finance
มุมมอง 5398 ปีที่แล้ว
Eckhard Platen - Benchmark Approach to Finance
can't see much insight
Amazing video, just discovering this now but great info and can’t thank you enough
He got phd at 1983 but looks so young.
👏👏👏CJ!
What about geometric returns , could they be used as an alternative to logarithmic returns ?
Thank you guys for sharing this beautiful presentation
The rigorous proof of the high water mark boundary condition is very difficult. How can you make sure the value function is differentiable?
Found the speaker very difficult to understand.