Dr Athanassios N. Avramidis

Lecturer in Operational Research

Related links: Personal homepage

Dr Athanassios N. Avramidis is a Lecturer within Mathematical Sciences at the University of Southampton.

Background

Lecturer, Mathematics, University of Southampton (2007-)

Researcher, School of Computer Science and Operations Research, University of Montreal, Canada (2002-2006)

Assistant Professor, School of Operations Research and Industrial Engineering, Cornell University, USA (1997-2001)

Senior Consultant, SABRE Decision Technologies, USA and France (1993-1997)

PhD Industrial Engineering, Purdue University, USA (1989-1993)

MS Industrial Engineering, Purdue University, USA (1987-1989)

Dipl. Mechanical Engineering (5-year MSc-equivalent), Aristotelian University, Thessaloniki, Greece (1982-1987)

Research

Responsibilities

Publications

Teaching

Contact

Research interests

Stochastic (Monte Carlo) simulation is an extremely general, flexible, and conceptually appealing technique, used in a wide variety of problems arising in science, engineering, and business. One drawback of simulation is its inefficiency, i.e., the lack of accuracy in answers relative to the computing time. My early research emphasized the development and rigorous analysis of techniques for increasing the efficiency of general-purpose stochastic simulation experiments, including: using auxiliary known information (control variates); exploiting the controlled experimental environment to integrate variance reduction techniques such as Latin hypercube sampling, control variates,and conditioning; and correlation-induction techniques for quantile estimation.

A more focused research effort has been on the development and analysis of Monte-Carlo simulation methods with application in pricing financial derivatives. Two key projects have been the probabilistic analysis of a Monte Carlo stochastic mesh method for pricing American options; and efficient algorithms for option pricing under the variance gamma model; here, the difference-of-gammas bridge sampling technique was shown to be particularly efficient. Other work was on importance sampling for multimodal integrands, which often arise in Monte Carlo pricing of financial derivatives.

A recent research thread is centered on stochastic modeling of call centers. In particular: modeling within-the-day stochastic dependence in call volumes; Markov-chain models of a blend call center; search-based optimization methods supported by Markov chain approximations for multi-skill call centers; and modeling and forecasting call arrivals to an emergency medical system.

Current Research Projects

Constructing multivariate discrete distributions with given (arbitrary) marginals, given (arbitrary) rank or linear correlations, and normal-copula dependence.

Research group

Operational Research

Affiliate research group

Stochastic Programming and Simulation

Research project(s)

Stochastic Simulation

Member, INFORMS Simulation Society Outstanding Publication Award
Committee, 2010-2012 (Chair in 2011)

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Articles

Conferences

MATH2013 Introduction to Operational Research
MATH6004 Stochastic OR Methods
MSc Summer Project - Academic Advisor

Dr Athanassios N. Avramidis
Mathematical Sciences
University of Southampton
Southampton, SO17 1BJ

Tel: (0)23 8059 5136
Fax: (0)23 8059 5147

e-mail: aa1w07@soton.ac.uk

Room Number : 54/10023

Facsimile: (023) 8059 5147

Dr Athanassios N. Avramidis's personal home page

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