Research

Research Interests My main research area is Applications of Statistics in Finance.

In particular, I work in the following areas in statistics: Convergence of stochastic processes, Inference for diffusions, Bayesian filtering, asymptotic inference, likelihood estimation, functional data analysis, hidden Markov models, extreme value theory , multivariate time series, high - dimensional data.

In finance I have worked on discontinuous asset price, stochastic volatility, optimal derivative pricing and hedging in incomplete market, covolatility for asynchronous data, volatility in the presence of microstructure noise, online auctions, exchange rates, interest rates, energy markets, risk analysis, contagion.

Articles submitted/ in revision

1. With Biswas, S. Estimating Spectral risk Measures for Left Truncated and Right Censored Data

2. With Chakrabarti, A. Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix

3. With Lakshmi, M. V. and Deb, S. Environmentally responsible index tracking: Maintaining performance while reducing carbon footprint of the portfolio

4. With Biswas, S. Econometric Modeling of Market Risk

Projects in progress

1. With Sikaria, S. Option Pricing and Hedging when the stock price is modeled as a Hawkes process

2. With Sherkar, V. Stylized facts of emerging markets

3. Time series of Functional data