LAST UPDATED: 01/08/2012 -

Please see new address at UCL Department of Statistics.

Wiley - Handbook on Operational Risk - Research Graduate and Practitioner Text

In Progress with Dr. Marcelo Cruz and Dr. Pavel Shevchenko.

MSc. Thesis - Sequential Monte Carlo Samplers - Cambridge University

The thesis concerned development of algortihms and properties of Sequential Monte Carlo Samplers. It is available at (pdf)

Ph.D. Thesis - Advances in Approximate Bayesian Computation and Trans-dimensional Sampling Methodology - University of New South Wales

The key focus of this thesis revolves around innovation related to the following three significant
Bayesian research questions.

• How can one develop practically useful Bayesian models and corresponding computationally
efficient sampling methodology, when the likelihood model is intractable?
• How can one develop methodology in order to automate Markov chain Monte Carlo
sampling approaches to efficiently explore the support of a posterior distribution, defined
across multiple Bayesian statistical models?
• How can these sophisticated Bayesian modelling frameworks and sampling methodologies
be utilized to solve practically relevant and important problems in the research fields
of financial risk modeling and telecommunications engineering ?

Part I of this thesis presents generally applicable key statistical sampling methodologies that
will be utilized and extended in the subsequent two parts. In particular it presents
developments in statistical methodology pertaining to likelihood-free or ABC and TDMCMC

Part II focuses on statistical model development in the areas of financial risk and
non-life insurance claims reserving.

Part III focuses on statistical model development in the area of statistical signal processing
for wireless communications engineering.