Dr. Michael Pitt

Biography

Michael Pitt completed his doctorate in 1997 at Nuffield College, University of Oxford. He worked in a post-doctoral position in the Statistics division at Imperial College London before joining the Economics department at the University of Warwick as an Assistant Professor in 1999. He became an Associate Professor in 2005 and has focused on several statistical econometric problems. His particular area of interest is particle filtering, also known as sequential Monte Carlo, which he applies to financial time series. In January 2016, he joined King's College London as a Professor in the Department of Mathematics. His work includes estimation of financial models in discrete and continuous time, multivariate copula models, and efficient implementation of Markov chain Monte Carlo and Sequential Monte Carlo methods.

Research Interests

Experience