Publications

In preparation

• P. Das, Céline Esser, Generalized $p$-th variation and wavelets. Draft available on request.

Under submission

• R. Cont, P. Das. Measuring roughness of a signals. ArXiv

• P. Das, Alexander Schied Quadratic and $p$-th variation of random signed Takagi–Landsberg bridges. ArXiv

• P. Das, Donghan Kim, Fang Rui Lim Banach spaces of continuous paths with finite p-th variation. ArXiv

• John Armstrong, Purba Das , An elementary approach to delta and gamma hedging, and the Black–Scholes PDE. ArXiv

• Munawar Ali, Purba Das, Qi Feng, Liyao Gao, Guang Lin , Noise estimation of SDE from a single data trajectory. ArXiv

• Purba Das, Anna P. Kwossek, David J. Prömel, A rough path approach to pathwise stochastic integration à la Föllmer. ArXiv

• Artur Kotlicki, P. Das, Virginia Pugliese, X marks the bank: digitalisation and depositor runs. SSRN

• Suprio Bhar, P. Das, Barun Sarkar, _Self-normalized scaled quadratic variation _. ArXiv

Accepted for publication

Published

2026

• Witold Bednorz, P. Das, R. Łochowski, Local times of deterministic paths and self-similar processes with stationary increments as normalized numbers of interval crossings. Annales de l’Institut Henri Poincaré, 62(1): 523-547 (February 2026). DOI: 10.1214/24-AIHP1519

2025

• P. Das, R. Łochowski, T. Matsuda, N. Perkowski Level crossings of fractional Brownian motion. The Annals of Probability 2025, Vol. 53, No. 6, 2354–2393

• P. Das, D. Kim On isomorphism of the space of continuous functions with finite p-th variation along a partition sequence. Journal de Mathématiques Pures et Appliquées Volume 203, November 2025, 103753

• E. Bayraktar, P. Das, D. Kim H"older regularity and roughness: construction and examples. Bernoulli 31(2): 1084-1113 (May 2025). DOI: 10.3150/24-BEJ1761

2024

• R. Cont, P. Das. Rough Volatility: Fact or Artefact?. Sankhya B - Volume 86, pages 191–223, (2024)

2023

• R. Cont, P. Das. Quadratic variation and quadratic roughness. Bernoulli 29 (1) 496 - 522, February 2023

2022 and earlier

• R. Cont, P. Das. Quadratic variation along refining partitions: Constructions and examples. Journal of Mathematical Analysis and Applications - Volume 512, 126173

• P. Das, T. Parthasarathy, G. Ravindran. On Completely Mixed Stochastic Games. Operations Research Forum volume 3, Article number: 57 (2022)

• P. Das, S. Das, A. Lahiri. Understanding Sea Ice Melting via Functional Data Analysis. Current Science Vol. 115, No. 5 (10 September 2018), pp. 920-929

Thesis

• Purba Das Roughness properties of paths and signals. Dphil Thesis–University of Oxford 2022
• Purba Das On completely mixed stochastic games. Masters Thesis– Chennai mathematical institute 2018

Collaborators (alphabetical order by last name)

1. Munawar Ali – Florida State University
2. John Armstrong – King's College London
3. Erhan Bayraktar – University of Michigan
4. Suprio Bhar – IIT Kanpur
5. Witold Bednorz – University of Warsaw
6. Rama Cont – University of Oxford
7. Sourish Das – Chennai Mathematical Institute
8. Céline Esser – University of Liège
9. Qi Feng – Florida State University
10. Liyao Gao – University of Washington
11. Donghan Kim – KAIST
12. Artur Kotlicki – Bank of England
13. Anna P. Kwossek – University of Vienna
14. Ananya Lahiri – Indian Institute of Technology Tirupati
15. Fang Rui Lim – University of Michigan
16. Guang Lin – Purdue University
17. Rafał Łochowski – Warsaw School of Economics
18. Toyomu Matsuda – Man AHL, Investment Management
19. T. Parthasarathy
20. Nicolas Perkowski – Freie Universität Berlin
21. David J. Prömel – University of Mannheim
22. Virginia Pugliese – Bank of England
23. G. Ravindran – ISI Chennai, India (Retired)
24. Barun Sarkar – IIT Madras, India