About me

I am an Assistant Professor at the Indian Institute of Management, Bangalore. Previously, I was a Postdoctoral Researcher at the Singapore University of Technology and Design, where I was advised by Prof. Karthyek Murthy. I completed a Ph.D. in Operations Research and Financial Engineering from the Tata Institute of Fundamental Research, under the guidance of Prof. Sandeep Juneja.

My research interests lie in statistics, applied probability, operations research and financial engineering. My current work focuses on developing data driven optimisation algorithms, with an emphasis on achieving robust performance in the presence of extreme risks. Specific areas that I currently work on:

Extreme Value Theory, Rare event modelling and simulation
Semi-parametric statistics
Risk Measures
Optimisation under Uncertainty

Here's a copy of my CV, research and teaching statements.

NOTE: If you are keen on doing an internship under me, please drop a note, and write to me what it is about your chosen field that excites you. I expect a moderate to significant level of comfort with any one or more of the following: probability theory, optimisation, measure theory or an expertise in at least one of the following: R, Python, Julia.

Awards and Honours

Third Prize at INFORMS JFIG, 2021 for my work Achieving Efficiency in Black-box Simulation of Distribution Tails with Self-structuring Importance Samplers (jointly with Karthyek Murthy)
Best Paper Award - CRISIL Doctoral Symposium, 2017 for my work Credit Risk: Simple Closed form Maximum Likelihood Estimators (joint work with Sandeep Juneja)

Education

M.Sc. + Ph.D., Tata Institute of Fundamental Research, Mumbai 2015-2021 (area of research: Operations Research and Financial Engineering).
B.E. in Electronics Engineering, Mumbai University, 2015.