I am an Assistant Professor in the Department of Industrial and Enterprise Systems Engineering (ISE) at the University of Illinois, Urbana - Champaign.

Before joining the ISE department, I have spent a year at the City University of New York, at City College in the department of Mathematics, and two sunny years at the University of California, Santa Barbara in the department of Statistics & Applied Probability. I did my post-doc at INRIA Nancy (France) Research Center, in the BIGS (Biology, Genetics and Statistics) team, under the supervision of Samy Tindel.

I received my Ph.D. from the Department of Statistics at Purdue University in December 2009 and my thesis advisor is Frederi G. Viens .

Research Interests

    Financial Engineering

    • Option Pricing
    • High-Frequency Finance
    • Stochastic Volatility
    • Monte Carlo and Particle Filtering Methods
    • Financial Time Series

    Stochastic Modeling

    • Simulation Methods
    • Stochastic Systems with Long Memory
    • Self-similar processes


    • Estimation of the Hurst index
    • Statistical inference for fractional stochastic differential equations
    • Statistical inference for multiscale diffusions