Imperial College London


Business School

Professor of Finance and Econometrics



+44 (0)20 7594 9344i.rustam Website CV




40953 Prince's GateSouth Kensington Campus





Books and Recent Papers:


“Heavy-tailed distributions and robustness in economics and finance” (with M. Ibragimov and J. Walden), Lecture Notes in Statistics 214, Springer, 2015,                           

“Heavy Tails and Copulas: Topics in Dependence Modelling in Economics and Finance” (with A. Prokhorov), World Scientific, Forthcoming 2016,

“Inference with Few Heterogeneous Clusters” (with U. K. Müller). Review of Economics and Statistics 98 (2016), 83-96.

“On the robustness of location estimators in models of firm growth under heavy-tailedness”. Journal of Econometrics 181 (2014), 25-33.

“Bounds for path-dependent options” (with Donald Brown and Johan Walden), Annals of Finance 11 (2015), 433-451.