Conference Announcement

I am co-organising a conference on Stochastic Calculus and its applications to Finance at IIT Madras, India as well as online. Check out the conference page here for more information.

Conference dates: June 3-5, 2024

Registration deadline: April 30, 2024.

About me

I am a Lecturer (Assistant professor) in Financial Mathematics in the Department of Mathematics at King’s College London. 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, ‘roughness’ of functions.

Roughness in finance: Rough volatility, Microstructure noise.