About me

I am a Lecturer (Assistant Professor) in Financial Mathematics in the Department of Mathematics at King’s College London (university webpage). Before joining 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 (2016) and my Master’s degree in Applied Mathematics from Chennai Mathematical Institute, India (2018).

My KCL-Pure page is here.

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.