Dr Gareth Peters

Position Lecturer
Phone (external) +44 020 7679 1238 
Phone (internal) 41238
Email(*) gareth.peters
Personal webpage http://www.homepages.ucl.ac.uk/~ucakgwp/
Themes Computational Statistics; Stochastic Modelling and Time Series;  General Theory and Methodology

* @ucl.ac.uk

Biographical Details

  • Dr Gareth Peters

    2012-Today: Lecturer (Assistant Prof.) in Statistics at UCL 

  • 2010-Today: Adjunct Scientist, CMIS, Commonwealth Scientific and Industrial Research Organisation, Australia. 
  • 2007 - Today: Founder of Quantitative Risk Solutions Laboratory (http://www.homepages.ucl.ac.uk/~ucakgwp/) 
  • 2009-2012: Lecturer (Assistant Prof. with tenure) in Department of Mathematics and Statistics, University of New South Wales, Sydney, Australia. 
  • 2007-2012: Statistical Research Consultant, Quantitative Risk Solutions with Boronia Managed Funds Pty Ltd 
  • 2007-2009: PhD in Statistics UNSW. 
  • 2006 - 2008: Quantitative Analyst, Economic and Risk Capital, Commonwealth Bank of Australia. 
  • 2005-2006: Research Assistant Statistics Department and Laboratory for Computational Intelligence, University British Columbia 
  • 2003-2005: M.Sc. (by research) - Statistical Signal Processing Group, Cambridge University, Cambridge, England 

Research Interests

Gareth has interests in three main research areas: 1. Computational statistics and methodology (Markov chain Monte Carlo, Sequential Monte Carlo, machine learning and non-parameteric statistics); 2. Financial mathematics with a primary focus in two sub-areas (i) risk and insurance modelling (compound processes, loss distributional approaches, copula dependence modelling, heavy tailed model asymptotic analysis and regulatory standards Basel III, Solvency II and liquidity risk); and (ii) Limit Order Book models and high frequency trading (LOB stochastic models, commodity models, execution strategies, algorithmic trading models and regulation of exchanges) ; 3. Statistical signal processing (wireless channel modelling, signal detection, relay networks, sensor networks and information theory).

Selected publications

See Journal publications at the URL: http://www.homepages.ucl.ac.uk/~ucakgwp/GWP/Journal_Papers.html
See Conference publications at the URL: http://www.homepages.ucl.ac.uk/~ucakgwp/GWP/Conference_Papers.html