Hi, I am Gelly Mitrodima

About Me

I am an assistant professor in the Department of Statistics, at the LSE. Prior to joining the Department of Statistics, 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 research interests lie in financial modelling and forecasting. My research uses among others Bayesian nonparametric and semiparametric framework, via Markov chain Monte Carlo, for the construction of quantile time series models for financial data.

RESEARCH

  • 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) 

TEACHING

  • Actuarial investigations: financial (Michaelmas term)
  •  Statistical methods in risk management (Summer School)

WORK EXPEPIENCE

2019-Now

 

Assistant professor
Department of Statistics
London School of Economics & Political Science

2015-2019

 

Fellow in Statistics
Department of Statistics
London School of Economics & Political Science

EDUCATION

2011-2015

 

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

2008-2010

 

MSc in Actuarial Science and Risk Management
Department of Statistics and Insurance Science, University of Piraeus

2002-2017

 

BSc in Statistics and Insurance Science
Department of Statistics and Insurance Science, University of Piraeus

SCHOLARSHIPS, GRANTS, AND CERTIFICATES

  • Travel grant: Economics, Finance and Business (EFaB) section of International Society for Bayesian Analysis (ISBA) for young researchers European Seminar on Bayesian Econometrics (ESOBE) session, 2019
  • The Santander travel research fund, 2016
  • Selected for the Merton H. Miller European Financial Management Association (EFMA) Doctoral Seminar, 2015, Netherlands
  • Conference grant: Actuarial and Financial Mathematics Conference (AFMath), 2015, Belgium
  • PhD scholarship: Engineering and Physical Sciences Research Council (EPSRC) and School of Mathematics, Statistics, and Actuarial Science, University of Kent

INVITED CONFERENCE AND SEMINAR TALKS

2019

– 62nd International Statistical Institute (ISI) world congress, Kuala Lumpur

2018

– Invited seminar at the Faculty of Economic Sciences and Management during the 50th anniversary of the Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Toruń, and the honorary doctorate of the Nicolaus Copernicus University ceremony for prof. Robert F. Engle
– Invited speaker at the 17th Conference on Research on Economic Theory and Econometrics, Tinos

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

2013

– Computational and Financial Econometrics Conference, London
– Women in Mathematics day, Cambridge

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)
  • 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:

  • Statistical models in risk management (Lectures, LSE, 3rd year, postgraduates, and professionals, about 40 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

2018-Now Responsible for projects related to the student experience and academic support of the undergraduate/postgraduate students, Department of Statistics, LSE

2017-Now Organiser of the practitioners’ challenge for the undergraduate students, Department of Statistics, LSE

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
Spanish: Basic knowledge

ἕν οἶδα, ὅτι οὐδέν οἶδα

Σωκράτης

Contact me

Department of Statistics
London School of Economics & Political Science
Houghton street
WC2A 2AE

+44 (0) 20 7955 6009

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