About me
I am a Lecturer (Assistant Professor) in Financial Mathematics in the Department of Mathematics at King’s College London (university webpage). Before KCL, I was a Byrne Research Assistant Professor of Mathematics at the University of Michigan for one year. I completed my DPhil in Mathematical Institute at the University of Oxford under the supervision of Professor Rama Cont. I received my Bachelor’s degree in Mathematics and Computer Science from Chennai Mathematical Institute, India in 2016 and Master’s degree in Applied Mathematics from Chennai Mathematical Institute, India in 2018.
Research interests
My research interests lie in the fields of stochastic analysis and its applications to mathematical finance. In particular:
Pathwise methods in stochastic analysis: Föllmer-Itô calculus, Functional Itô calculus, Characterising/measuring ‘roughness’, Invariance of ‘rough’ integrals.
Roughness in finance: Rough volatility, Microstructure noise, data-driven model discovery, Stochastic symbolic regression.
Collaborators (alphabetical order by last name)
2. Erhan Bayraktar – University of Michigan
3. Suprio Bhar – Institution Unknown
4. Witold Bednorz – University of Warsaw
5. Rama Cont – University of Oxford
6. Sourish Das – Chennai Mathematical Institute
7. Qi Feng – Florida State University
8. Liyao Gao – University of Washington
9. Donghan Kim – KAIST
10. Artur Kotlicki – Bank of England
11. Anna P. Kwossek – University of Vienna
12. Ananya Lahiri – Indian Institute of Technology Tirupati
13. Guang Lin – Purdue University
14. Rafał Łochowski – Warsaw School of Economics
15. Toyomu Matsuda – Man AHL, Investment Management
16. T. Parthasarathy –
17. Nicolas Perkowski – Freie Universität Berlin
18. David J. Prömel – University of Mannheim
19. Virginia Pugliese – Bank of England
20. G. Ravindran – ISI Chennai, India
21. Barun Sarkar – IIT Madras, India