University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Pathwise methods in stochastic analysis: Föllmer-Itô calculus, 'roughness' of functions.
Roughness in finance: Rough volatility, Microstructure noise.
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.
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).
Measuring the roughness of a signal: Rama Cont, Purba Das (Working paper).
Understanding Sea Ice Melting via Functional Data Analysis: Purba Das, Ananya Lahiri, Sourish Das. Current Science, Volume 115, Issue 5, Pages 920–929