Research Interests:

• Mathematical Finance: Option Pricing, Financial Modeling with Jump Processes, Barndorff-Nielsen and Shephard Model, Lévy Processes, Stochastic volatility modeling, Portfolio optimizations.
• Data Science: Recent interest includes various applications of Machine Learning, Deep Learning, and Neural Network.
• Environmental Finance analysis: weather derivatives, catastrophe bond, green bonds, etc.
• Information Theory: Concentration and Subsampling Problems in Communication Theory.

Graduate student mentoring:

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