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UCL School of Slavonic and East European Studies (SSEES)

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Dr Ilias Chondrogiannis

Teaching Fellow in Economics and Business

SSEES

UCL SLASH

Joined UCL
15th Sep 2017

Research summary

My research interests lie in asset pricing, portfolio management, tail risk and incomplete markets with extensions to violations of normality, asymmetric information and extreme event risk. My current research focuses on how jumps in asset prices affect managerial decisions in funds, proper modelling of heavy tails (stochastic jump-diffusion, Poisson and Hawkes processes) and applications in specific markets and puzzles. Further extensions include the effects of jumps in CDS markets and systemic risk, expansions in incomplete markets and portfolio selection under uncertainty. I am also greatly interested in both the theoretical and applied aspect, as well as micro- and macroeconomic applications of the above. The quantitative methods of choice are Bayesian analysis (MCMC, particle filtering) and GARCH variations (GARCH, TARCH, GARCH-DCC).

Apart from Finance, I maintain a long and established interest in Micro- and Macroeconomics, Political Economy, History of Economic Thought, Growth and Development, and I welcome ideas from those areas.

Teaching summary

Microeconomics, Macroeconomics, Corporate Finance, Asset Pricing, Thomson Reuters Eikon tutorials, Game Theory, Mathematics and Statistics, Econometrics

Education

University College London
FHEA, Teaching and Learning in Higher Education | 2019
Publications