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Papers:
- A Dynamic Contagion Process with Diffusion, 2012, with Angelos Dassios
- in progress
Teaching:
Presentation:
- Feb 2012 A Dynamic Contagion Process, Mathematical and Computational Finance Group, University of Oxford
- Dec 2011 Portfolio Credit Risk of Default and Spread Widening, 24th Annual Australasian Finance and Banking Conference, Sydney
- Jun 2011 Risk Process with Dynamic Contagion Claims, London School of Economics
- Mar 2011 A Dynamic Contagion Process and its Applications to Credit Risk and Ruin Theory, Risk and Stochastics Day, London
- Jun 2010 Point Processes with Contagion and an Application to Credit Risk, 6th World Congress of the Bachelier Finance Society, Toronto
- Mar 2010 Point Processes with Contagion and an Application to Credit Risk, London Graduate School in Mathematical Finance
- Jun 2009 Dynamic Contagion Process and Its Application in Credit Risk, London School of Economics
Personal Interests: art, calligraphy, photography, travelling, computer art design, classical music, chess, badminton, table tennis, basketball.
My ART Gallery @ Flickr
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Monday, 29/10/12 11:49 PM
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© London School of Economics and Political Science
I was a PhD student (2008-2012) supervised by Angelos Dassios at London School of Economics.
Research Interests: Mathematical Finance
- point processes with contagion and applications to finance and insurance; dependence structure: correlation, copula, contagion;
- portfolio credit risk management and strategy: pricing, hedging, rating; interaction of market and credit risk; economic capital.
PhD Thesis: A Dynamic Contagion Process - for Modelling Contagion Risk in Finance and Insurance