Yan Qu

PhD Student in Department of Statistics, LSE

About Me

I am a PhD student supervised by Professor Angelos Dassios in the Department of Statistics at the London School of Economics (LSE).

Research Interests

General: Financial Mathematics, Computational/Quantitative finance, Insurance mathematics, Asset Pricing, Risk management, Actuarial Science.

Particular: Excursion theory, Lévy based stochastic model and application in insurance, Ruin theory, Stochastic simulation as applied to financial and insurance mathematics.

Papers

  • Exact Simulation for a Class of Tempered Stable and Related Distributions, with Angelos Dassios, Hongbiao Zhao    [PDF]
    -  ACM Transactions on Modeling and Computer Simulation , 28(3), 20:1-20:21, 2018

  • Exact simulation of Generalised Vervaat Perpetuities, with Angelos Dassios, Jia Wei Lim    [PDF]
    -  Journal of Applied Probability, 56(1), 2019

  • Efficient Simulation of Lévy-driven Point Processes , with Angelos Dassios, Hongbiao Zhao    [PDF]
    -  to appear in Applied Probability Journals

  • Random Variate Generation for Tilted Stable Distributions, with Angelos Dassios, Hongbiao Zhao    [PDF]
    -  R&R at INFORM Journal on Computing

  • Exact Simulation of Gamma-driven Ornstein-Uhlenbeck Processes with Finite and Infinite Activity Jumps, with Angelos Dassios, Hongbiao Zhao    [PDF]
    -  R&R at Journal of the Operational Research Society

  • Truncated inverse Gaussian Lévy measures and applications in Insurance and Finance, with Angelos Dassios, Jia Wei Lim    [PDF]
    -  submitted

  • Exact Simulation of Tempered Stable Ornstein-Uhlenbeck Processes: A Unified Approach , with Angelos Dassios, Hongbiao Zhao    [PDF]
    -  submitted

  • Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero-coupon bonds, with Angelos Dassios, Jia Wei Lim    [PDF]
    -  submitted

    Presentations

  • 10th World Congress of Bachelier Finance Society, Dublin, Jul 2018

  • Workshop on Data Science Theory and Practice, London, Mar 2018

  • Department of Statistics, London School of Economics, Jun 2017

  • Department of Statistics, London School of Economics, Jun 2016

  • London Graduate School in Mathematical Finance, London, Mar 2016

    Teaching

  • ST102 Elementary StStatistical Theory

  • ST303 Stochastic Simulation

  • MA212 Further Mathematical Methods