About Me

I am a fellow in Statistics at the Department of Statistics, at London School of Economics and Political Science. Prior to my appointment at LSE, I spent 4 years at the University of Kent, where I did my PhD in Actuarial Science at the School of Mathematics, Statistics, and Actuarial Science. My PhD thesis was on the use of quantile methods to better estimate and forecast the time-varying conditional asset return distribution, entitled ‘’Essays on the modelling of quantiles for forecasting and risk estimation’’.

I moved to the UK from Greece, where I completed both my BSc in Statistics and Insurance Science and my MSc in Actuarial Science and Risk Management at the Department of Statistics and Insurance Science at the University of Piraeus.

My research interests lie in financial modelling and forecasting. My research uses among others Bayesian non- and semi-parametric framework, via Markov chain Monte Carlo, for the construction of quantile time series models for financial data.

Teaching

  • Actuarial Investigations: Financial (Michaelmas term)
  • Survival Models (Lent term)
  • Stochastic Simulation (Lent term)
  • Statistical Models and Data Analysis (Lent term)

  • Research

  • A Bayesian quantile time series model for asset returns (with J. E. Griffin) View
  • Robustly modelling the scale and shape dynamics of stock return distributions (with J. E. Griffin and J. S. Oberoi) View
  • Value at Risk models of autoregressive quantiles with improved performance on financial criteria (with J. S. Oberoi) View
  • Resume

    Tel: +44 (0) 20 7955 6009
    Email:



    WORK EXPERIENCE

    2015

    LSE Fellow in Statistics

    Department of Statistics

    London School of Economics & Political Science


    2013 - 2014

    Lecturer for the induction course in Statistics,

    MSc in Finance, Investment, and Risk

    School of Mathematics, Statistics, and Actuarial Science

    University of Kent

    2012 - 2014

    Statistics mentor

    Student Learning Advisory Service

    University of Kent

    2012 - 2014

    Teaching assistant

    School of Mathematics, Statistics and Actuarial Science

    University of Kent



    EDUCATION

    2011 - 2015

    Ph.D. in Actuarial Science

    School of Mathematics, Statistics and Actuarial Science, University of Kent

    Thesis: “Essays on the modelling of quantiles for forecasting and risk estimation”

    2008 - 2010

    MSc in Actuarial Science and Risk Management

    Department of Statistics and Insurance Science, University of Piraeus

    Thesis: “On the density of the time of ruin with exponential claims”

    2002 - 2007

    BSc (4 years) in Statistics and Insurance Science

    Department of Statistics and Insurance Science, University of Piraeus



    Scholarships and Certificates

  • Ph.D. Scholarship: Engineering and Physical Sciences Research Council (EPSRC) and School of Mathematics, Statistics, and Actuarial Science, University of Kent
  • Conference grant: Actuarial and Financial Mathematics Conference (AFMath), 2015, Belgium
  • Selected for the Merton H. Miller European Financial Management Association (EFMA) Doctoral Seminar, 2015, Netherlands
  • The Santander Travel Research Fund, 2016


  • Research interests

    My research interests lie in financial modelling and forecasting. Among others, my research uses Bayesian non- and semi-parametric framework, via Markov chain Monte Carlo, for modelling quantile time series of financial data.



    Preprints and on-going research

  • A Bayesian non-parametric Multiplicative Error Model (MEM) for different horizon effects via a simple Heterogeneous Auto-Regressive (HAR) model (with M. Kalli)
  • Credible intervals for the premiums of Optimal Bonus Malus systems (with G. Tzougas)
  • A Bayesian quantile time series model for asset returns (with J. E. Griffin)
  • Robustly modelling the scale and shape dynamics of stock return distributions (with J. E. Griffin and J. S. Oberoi)
  • Value at Risk models of autoregressive quantiles with improved performance on financial criteria (with J. S. Oberoi)


  • Invited conference and seminar talks

    2017
    -Invited speaker at the Computational and Financial Econometrics Conference, London
    -16th Conference on Research on Economic Theory and Econometrics, Milos
    -Greek Stochastics, Milos
    -Young Finance Scholars Conference, University of Sussex, Falmer
    -Invited speaker at the Women Count Conference, Queen Mary University, London

    2016
    -Invited speaker at the Computational and Financial Econometrics Conference, Seville


    2015
    -Invited speaker at the Computational and Financial Econometrics Conference, London
    -Actuarial and Financial Mathematics Conference (AFMath), Brussels

    2014
    -Invited speaker at the Computational and Financial Econometrics Conference, Pisa
    -Centre for Actuarial Science, risk and investment (CASRI) seminar, Canterbury


    2013
    -Computational and Financial Econometrics Conference, London
    -Centre for Actuarial Science, risk and investment (CASRI) seminar, Canterbury
    -Women in Mathematics day, Cambridge
    -Kent’s University postgraduate research festival, Canterbury


    2012
    -Centre for Actuarial Science, risk and investment (CASRI) seminar, Canterbury


    2011
    -Centre for Actuarial Science, risk and investment (CASRI) seminar, Canterbury


    Lecturing and Teaching

    To undergraduate students:

  • Actuarial Investigations: Financial (Lectures and seminars, LSE, 2nd year, about 160 students)
  • Elementary Statistical Theory (Classes, LSE, 1st year, about 15 students)
  • Statistical Models and Data Analysis (Classes, LSE, 2nd year, about 20 students)
  • Actuarial Investigations: Financial (Seminars, LSE, 2nd year, about 40 students)
  • Survival Models (Seminars, LSE, 2nd year, about 40 students)
  • Stochastic Simulation (Seminars, LSE, 3rd year, about 30 students)
  • Bayesian Inference (Classes, LSE, 3rd year, about 30 students)
  • Statistics for Insurance (Tutorials, University of Kent, 2nd year, about 40 students)
  • To postgraduate students:

  • Computational Methods in Finance and Insurance(Workshops, LSE, MSc in Quantitative Methods for Risk Management, about 30 students)
  • Financial Risk Management (Lectures and tutorials, University of Kent, MSc in Finance, Investment, and Risk, about 40 students)
  • Induction course in Statistics (Lectures, University of Kent, MSc in Finance, Investment, and Risk, about 50 students)


  • Administrative duties

    2015 - Now Mentor to undergraduate students, Department of Statistics, LSE


    2015 - 2016 Organiser of the postgraduate seminar series, Department of Statistics, LSE



    Languages

    GREEK: Native

    ENGLISH: Fluent, Cambridge Proficiency in English (CPE), Michigan Proficiency in English, TOEFL

    SPANISH: Basic Knowledge, Diploma del Instituto de Cervantes (initial level)



    • ἕν οἶδα, ὅτι οὐδέν οἶδα

      -Σωκράτης

    Contact me


    Department of Statistics London School of Economics & Political Science
    Columbia House, London, WC2A 2AE
    +44 (0) 20 7955 6009
    e.mitrodima@lse.ac.uk

    www.000webhost.com