Rituparna Sen
Assistant Professor 
Curriculum Vitae

RESEARCH INTERESTS:
Applications of statistics in finance, discontinuous asset price, stochastic volatility, optimal derivative pricing and hedging in incomplete market, microstructure noise, realized volatility, convergence of stochastic processes, Bayesian filtering, asymptotic inference, likelihood estimation, functional data analysis, hidden markov models.

PAPERS:

Predicting Web User's Next Access Based on Log Data: with Dr. Mark H. Hansen, Journal of computational and graphical statistics12(1):143-155. March 2003

Option pricing and hedging for stock prices with discrete jumps and stochastic volatility. Proceedings of the American Statistical Association. Business & Economic Statistics Section. 2005

Intervals for option prices. International Journal of Statistics and Management Systems 1(1): 59-82. 2006

Estimation of Integrated Covolatility for Asynchronous assets in the presence of Microstructure Noise. With Qiuyan Xu, Multivariate Statistical Methods ed. Ashis SenGupta, WORLD SCIENTIFIC.

Jumps and Microstructure noise in Stock Price Volatility. Stock Market Volatility ed. Greg N. Gregoriou CHAPMAN HALL/TAYLOR AND FRANCIS

Functional data Analysis for Volatility Process. with Muller, H.G., Stadtmuller, U. Submitted

Hedging Options when Stock prices change by a constant increment. Submitted

An invariance in volatile period of stock and its implied trading strategy. With Fushing Hsieh. In preparation

Smooth Volatility, Jumps, and Microstructure Noise in Realized Volatility. With Airu Cheng. In Preparation.

Random lead-lag estimator for Covolatility. With Qiuyan Xu. In Preparation.

THESIS:

Modeling the stock price process as a continuous time jump process

PRESENTATION SLIDES:

Statistical Issues in Finance. UCDavis Dept of Staistics Oct 2005

Functional Data Analysis for Volatility Process IMS Meeting Brazil July 2006

Estimation Of Integrated Covolatility For Asynchronous Assets In The Presence Of Microstructure Noise ISI Kolkata Dec 2006

Modeling the Stock Price Process as a Continuous Time Discrete Jump Process. Smith School of Business Jan 2007

TEACHING
Elementary Statistics: Stat 13 Fall 2004, Winter 2006, Summer 2006, Fall 2006, Summer 2007
Probability Modeling: Stat 102 Fall 2005, Fall 2006

Applied Statistics: Stat 103 Winter 2008, Spring 2008

Probability for Engineers: Stat 120 Spring 2007, Summer 2008

Multivariate Analysis: Stat 135 Spring 2008
Mathematical Statistics: Stat 231A Fall 2005
Statistics Seminar: Stat 290 Winter 2008

ABOUT MYSELF
I was born in Kolkata, India and spent the first 23 years of my life there. I went to Bidya Bharati Girls' High School and South Point School. I did B. Stat.(1996) and M. Stat.(1998) from the Indian Statistical Institute. I trained in Indian classical music for 11 years and obtained a Sangeet Visharad (masters) degree. I got my PhD from the Statistics Department at University of Chicago(2004). My advisor was Per Aslak Mykland. I did one year of graduate study at Stanford University and summer research at Bell Labs. I am married to Prabuddha Chakraborty who is a physicist in University of Augsburg, Germany, and we have a three-year old daughter named Brishti. I am the Chief Coordinator of Eso Kichu Kori.