- Mathematical Finance: Lévy-driven and jump-diffusion models; Near-expiration and short-maturity option asymptotics; Portfolio optimization problems in continuous-time models; High-frequency algorithmic trading, limit order book modeling, and asset price formation.
- Statistics: Inference methods based on high-frequency sampling data; Nonparametric Estimation and Model Selection Methods; and Time Series Analysis.
- Probability and Stochastic Processes: Asymptotic short-time properties of stochastic processes; Stochastic control; and Simulation methods.
- NSF Grant: A New Approach Toward Optimal and Adaptive Nonparametric Methods for High-Frequency Data. Role: Sole PI. DMS-1613016, 2016-2019.
- NSF Career Award: Bridging High-Frequency Data Analysis and Continuous-time Features of Levy Models. Role: Sole PI. DMS-1561141, 2012-2017.
- Purdue University Faculty Scholar, 2014. Purdue University’s recognization for “oustanding accomplishment by faculty mid-way through their academic career.”
- NSF Grant: Nonparametric Methods for Jump Processes Under Microstructure Noise. Role: Sole PI. DMS-0906919, 2009-2012.
Professor of Mathematics and Statistics
- Phone: 314-935-7539
- Fax: 314-935-6839
- Email: email@example.com