University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
My research interests are mainly focused on probability theory, stochastic analysis and their applications. I am especially interested in fractional Brownian motion, rough path analysis, time series analysis and applications in statistics, finance and systems that evolve under the influence of randomness or uncertainty.
Major / Recent Publications:
 Option Valuation Formula for General GARCH-in-Mean Models, joint work with Zhongmin Qian, SSRN:3185994 (May 2018). Submitted.
 Lévy area of fractional Ornstein-Uhlenbeck process and parameter estimation, joint work with Zhongmin Qian, arXiv:1803.11039. Submitted.
 Itô integrals for fractional Brownian motion and applications to option pricing, joint work with Zhongmin Qian, arXiv:1803.00335. Submitted.
 Critical radius and supremum of random spherical harmonics (II), joint work with Renjie Feng and Robert J. Adler, arXiv:1709.00691. Submitted (2nd Round in Review).