Welcome

I am currently a Visiting Assistant Professor in the Department of Statistics and Applied Probability at the University of California, Santa Barbara.

I did my post-doc at INRIA Nancy Grand Est Research Center, in the BIGS (Biology, Genetics and Statistics) team under the supervision of Samy Tindel.

I received my Ph.D. from the Department of Statistics at Purdue University in December 2009 and my thesis advisor is Frederi G. Viens .

Research Interests

Stochastic Processes

• Fractional Brownian motion, Hurst index estimation for self-similar processes, Central and non-central limit theorems for self-simlar processes, Statistical inference for fractional stochastic differential equations, Rough paths, Sequential change-point detection for fractional SDEs.

Mathematical Finance

• Pricing and inference for stochastic volatility models with long-memory, Monte Carlo and particle methods, Applications of Malliavin calculus in finance.