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 .
- Fractional Brownian motion
- Self-similar processes
- Fractional stochastic differential equations
- Stochastic volatility models with long memory
- Applications of Malliavin calculus in finance
- Risk measures, G-Expectations
- Estimation of the Hurst index
- Statistical inference for fractional stochastic differential equations
- Statistical inference for multiscale diffusions