LAST UPDATED: 01/08/2012 -

Please see new address at UCL Department of Statistics.



QRSLab Research Projects


Computational Statistics

Development of novel methodology for sampling, integral estimation and filtering in stochastic models. Development of algorithms (Markov chain Monte Carlo MCMC, Adaptive MCMC, Trans-dimensional MCMC, Sequential Monte Carlo (SMC), non-linear filtering, Likelihood-free sampling methdology, Annealing and tempering, rare-event simulation).

Bayesian Risk, Commodities, Insurance and Hedge Fund models

Development of novel Bayesian models for Operational Risk, Credit Risk, Commodities and Non-life insurance claims reserving. This involves introduction of copula based Bayesian models for correlation structures; estimation and calibration procedures; joint on-line parameter estimation and non-linear filtering; likelihood-free bootstrap procedures; Co-Integrated Vector Autoregression time series models; multivariate latent factor sde models.