Dr Athanasios (Thanos) Avramidis is a Lecturer in Operational Research based in the School of Mathematical Sciences at the University of Southampton.
- Finite-state, finite-action Markov Decision process
- Stochastic (Monte Carlo) simulation in pricing financial deritivates
Current research: the development of algorithms for pricing in the absence of full information about the demand process. Typical application: a seller facing repeated selling seasons driven by some fixed demand function that is unknown. Typical model: repeated episodes modelled as a finite-state, finite-action Markov Decision process, whose reward and transition functions are both unknown. Analysis of regret (the expected loss relative to the optimal policy).
Past research projects leading to publications:
Methodological research on stochastic simulation. Primarily, theoretical work on variance reduction methods. Other work has been on the theory of the so-called NORTA method for fitting multivariate discrete distributions with given (rank) correlation structure.
Analysis of Monte Carlo algorithms in finance. Analysis of convergence of a mesh method for American-option pricing. Analysis of Monte-Carlo algorithms for option pricing under the variance-gamma model.
Call-center modelling, simulation, and optimization. Modelling of daily call arrivals that accounts for various empirical features (within-day correlation, overdispersion relative to a Poisson model). Call-center performance modelling via continous-time Markov chain approximations. Staffing algorithms based on performance approximations and search methods; simulation-based scheduling algorithms. Modelling call arrivals to an emergency medical center (in Calgary, Canada).
Thanos has taught on a number of modules, including:
Soon after completing his doctoral thesis at the School of Industrial Engineering at Purdue University, he won the First Prize in the 1993 George Nicholson Competition sponsored by the Institute for Operations Research and the Management Sciences for his research on the integration of variance reduction techniques for Monte Carlo simulation. He held posts as Consultant (then Senior Consultant) at Sabre Airline Solutions, working on airline revenue management projects (1993-1995) and then in schedule planning and revenue management for the French National Railways in Paris, France (1995-1997). He was Assistant Professor at the School of Operations Research and Information Engineering at Cornell University (1997-2001). He was Invited Researcher at the Department of Computer Science and Operations Research, University of Montreal (2002-2005) and then Researcher (2005-2006), collaborating with Professor Pierre L'Ecuyer. He joined the University of Southampton in 2007.
- INFORMS Simulation Society Outstanding Simulation Publication Award (2009)
- George Nicholson Student Paper Competition (1993)