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Professor Michael Pitt

 Michael Pitt

Telephone: +44 020 7848 1165

Email: michael,pitt@kcl.ac.uk

Office: S4.15, Strand Building, Strand Campus

Research Group: Professor in Statistics

 

Biography

Michael Pitt completed his doctorate in 1997 at Nuffield College and the Department of Statistics at the University of Oxford. After a two year post-doctoral position in the Statistics division at Imperial College London, he joined the Economics department at the University of Warwick as an Assistant Professor (lecturer) in 1999 becoming Associate Professor in 2005. He has worked on a number of statistical and econometric problems. A particular area of interest is in particle filtering (also known as sequential Monte Carlo) applied to financial time series.  He joined King's College London as a Professor in Statistics in the Department of Mathematics in January 2016.

 

Research Interests

  • Estimation of financial times models  in discrete and continuous time
  • Multivariate copula models
  • The efficient implementation Markov chain Monte Carlo
  • Sequential Monte Carlo (SMC) methods
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