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
• Self-similar processes
• Fractional stochastic differential equations

Mathematical Finance

• Stochastic volatility models with long memory
• Applications of Malliavin calculus in finance
• Risk measures, G-Expectations

Mathematical Statistics

• Estimation of the Hurst index
• Statistical inference for fractional stochastic differential equations
• Statistical inference for multiscale diffusions

Workshop for Women in Probability
October 14-16, 2012 at Duke University in Durham, NC