Welcome!

Ph.D Student in Mathematics, PURDUE UNIVERSITY

Thesis Advisor: Fabrice Baudoin

Areas of Research:

- SDE’s driven by fractional Brownian motion (FBM)

- Rough Path theory

- Malliavin calculus

- Stein’s method

- Probability and its applications to Finance and Economics.

Topics of Interest:

- Properties of solutions of SDE’s driven by FBM

(Varadhan estimates, positivity on the density, small time estimates)

- Central and Non-central limit theorems in the Wiener-Poisson space (Wiener space and Poisson sace as well)

(Using Stein’s method and Malliavin calculus combined)

- Implementation of finance models with jumps to calculate Value at Risk and Conditional Value at Risk

(Combined simulation of correlated Levy processes)

- Estimation of zero coupon bond curve with few observations

(Combination of cubic splines, Svensson and linear interpolation)