Prof. Angelos Dassios
London School of Economics and Political Science
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Academic Career Length
32Years (1995-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
View All Publications1 May 2014 in Bernoulli
Journal Article
WBWicher Bergsma
Wicher BergsmaAngelos DassiosProject Euclid - mathematics and statistics online
1 January 2003 in Finance and Stochastics
Journal Article
Angelos DassiosJJJiwook Jang
Jiwook Jang1 January 2013 in Electronic Communications in Probability
Journal Article
Angelos DassiosHZHongbiao Zhao
Hongbiao ZhaoExact simulation of Hawkes process with exponentially decaying intensity
1 May 1995 in The Annals of Applied Probability
Journal Article
Angelos DassiosThe study of the quantile of a Brownian motion with a drift is undertaken. An explicit formula for its density, as well as a representation of its distribution as the sum of the maximum and the minimum of two rescaled independent Brownian motions with drift, is given. The result is used in the pricing of a financial path-dependent option due to Miura.
11 November 2009 in Finance and Stochastics
Journal Article
Angelos DassiosSWShanle Wu
Shanle Wu1 August 1996 in The Annals of Applied Probability
Journal Article
Angelos DassiosThe purpose of this note is to obtain a representation of the distribution of the $\alpha$-quantile of a process with stationary and independent increments as the sum of the supremum and the infimum of two rescaled independent copies of the process. This representation has already been proved for a Brownian motion. The proof is based on already known discrete time results.
About Me
I am a Professor at the Department of Statistics at the London School of Economics. I joined in 1989 after a brief period working at Imperial College, London.