Purba Das

B.Sc, M.SC

Status

Postgraduate Student

https://daspurba.github.io/

Research groups

Address
Mathematical Institute
University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Woodstock Road
Oxford
OX2 6GG

Research interests

Pathwise methods in stochastic analysis: Föllmer-Itô calculus, 'roughness' of functions.

Roughness in finance: Rough volatility, Microstructure noise.

Teaching

Tutor: B8.1 Probability, Measure and Martingales, B8.2 Continuous Martingales and Stochastic Calculus, Part C (MCF) Stochastic calculus, Part C (MCF) Optimisation.

Teaching Assistants: B8.1 Probability, Measure and Martingales, B8.2 Continuous Martingales and Stochastic Calculus, C8.1 Stochastic Differential Equations, C6.2 Continuous Optimisation, Part C (MCF) Optimisation.

College Tutor: B8.2 Continuous Martingales and Stochastic Calculus in Mansfield College.

Previous TA: Game Theory, Regression and Classification, Optimisation techniques, Financial Risk Management.

Prizes, awards, and scholarships

Mathematical Institute Studentship at University of Oxford (2018-2022).

Postgraduate studentship at Chennai Mathematical Institute, India (2016-2018).

Undergraduate studentship at Chennai Mathematical Institute, India (2013-2016).

Major / recent publications

Rough volatility: fact or artefact? Rama Cont, Purba Das.

Measuring the roughness of a signal: Rama Cont, Purba Das (Working paper).

Quadratic variation and quadratic roughness: Rama Cont, Purba Das (To appear: Bernoulli).

Functions with quadratic variation along refining partitions: Rama Cont, Purba Das (journal of mathematical analysis and applications).

On Completely Mixed Stochastic Games: Purba Das, T. Parthasarathy, G. Ravindran (To appear: Operation research forum).

Understanding Sea Ice Melting via Functional Data Analysis: Purba Das, Ananya Lahiri, Sourish Das. Current Science, Volume 115, Issue 5, Pages 920–929