Assistant University

Rituparna Sen

Assistant Professor Tel (Office): 530-***-****

Department of Statistics Tel (Res): 530-***-****

University of California at Davis Fax: 530-***-****

Davis CA 95616 E-mail: ****@****.*******.***

EDUCATION

09/99-07/04 PhD in Statistics University of Chicago

09/98-06/99 Graduate student in Statistics Stanford University

07/96-05/98 Master of Statistics Indian Statistical Institute

07/93-05/96 Bachelor of Statistics Indian Statistical Institute

INTERNSHIP

06/00-08/00 Bell Labs, Lucent Technologies, Murray Hill, NJ

RESEARCH INTEREST: Applications of Statistics in Finance

Statistics: Convergence of stochastic processes, Inference for diffusions, Bayesian filtering, asymptotic inference, likelihood estimation, functional data analysis, hidden Markov models, extreme values, multivariate time series, high-dimensional data, Recurrence times.

Finance: discontinuous asset price, stochastic volatility, optimal derivative pricing and hedging in incomplete market, covolatility for asynchronous data, volatility in the presence of microstructure noise, online auctions, exchange rates, interest rates, energy markets.

PUBLISHED PAPERSPredicting Web User's Next Access Based on Log Data: with Dr. Mark H. Hansen, Journal of Computational and Graphical Statistics 12(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. 2005Intervals for Option Prices International Journal of Statistics and Management Sciences. 1: 59-81. 2006Estimation of Integrated Covolatility for Asynchronous assets in the presence of Microstructure Noise. With Qiuyan Xu, Multivariate Statistical Methods ed. Ashis SenGupta, WORLD SCIENTIFIC 2008.Jumps and Microstructure noise in Stock Price Volatility. Stock Market Volatility ed. Greg N. Gregoriou CHAPMAN HALL/TAYLOR AND FRANCIS 2008Hedging Options In The Incomplete Market With Stochastic Volatility Statistics and Its Interface 2(4): 469-480. 2009.A note on testing regime switching assumption based on recurrence times. With Dr. Fushing Hsieh

Statistics and Probability Letters 79(24): 2443-2450. 2009.

SUBMITTED PAPERSSmooth Volatility, Jumps, and Microstructure Noise in Realized Volatility. With Airu Cheng.Functional Data Analysis for Volatility with Hans-Georg M\"uller and Ulrich Stadtm\"ullerConsistent Estimator of Integrated Covolatility with Qiuyan XuCovariance Between Stochastic Processes Observed Sparsely With Noise: Application To Online Auctions

AWARDS and FELLOWSHIPS

Visiting Researcher position at University of Augsburg (2009)

Women in Mathematical Sciences Award, Technical University Munich (2009)

Faculty Development Award, UCDavis (2009)

Best Student Paper Award, ASA section on Statistical Computing (2001)

Bahadur Memorial Fellowship, University of Chicago (2000)

Abram's Award Fellowship, Stanford University (1998)

Gold medal for ranking 1st in B. Stat, Indian Statistical Institute (1997)

Scholarship, Indian Statistical Institute (1993-98)

National Talent Search Scholarship in India (1991)

Ranked 8th among 0.35 million students in Secondary Examination (1991)

TEACHING EXPERIENCE

Instructor, University of California at Davis

Applied Statistics: Winter 2008, Spring 2008, Winter 2009.

Multivariate Analysis: Spring 2008

Probability for Engineers: Spring 2007.

Probability Modeling: Fall 2005, Fall 2006, Spring 2009.

Mathematical Statistics: Fall 2005

Elementary Statistics: Fall 2004, Winter 2006, Summer 2006, Fall 2006, Summer 2007, Spring 2009.

Instructor, University of Chicago

Elementary Statistics, spring 2001, fall 2001

Course Assistant, University of Chicago

Measure Theoretic Probability I, fall 2003 (Instructor M. Wichura)

Stochastic Calculus and Finance II, winter 2003 (Instructor J. Paulsen)

Introduction to Stochastic Processes II, spring 2002 (Instructor S. Lalley)

Stochastic Calculus and Finance I, fall 2000 (Instructor S. Lalley)

Linear Models and Experimental Design, spring 2000 (Instructor S. Lalley)

Statistical Methods and their Applications (Econ Variant), fall 1999 (Instructor M. Larsen)

Teaching Assistant, Stanford University

Introduction to Statistical Methods: Post-calculus, spring 1999 (Instructor I. Johnstone)

Introduction to Statistical Methods II, winter 1999 (Instructor A. Gous)

Theory of Probability, fall 1998 (Instructor S. Holmes)

GRADUATE STUDENTS SUPERVISED

Qiuyan Xu PhD 2008

Changjie Ma PhD expected 2012

Zheng Tan PhD expected 2012

SERVICEArranged topic contributed session for Business and Economics Section of ASA in JSM 2007Arranged Invited Session for International Indian Statistical Association 2008Panelist for NSF Graduate Research Fellowship in the Mathematical Sciences 2007 Reviewed papers for JASA, JRSS(B), ASMBIReviewed book Emerging Markets for CHAPMAN & HALLChair of University of California Davis committee on new undergraduate program on Statistical Finance 2008-09

COMPUTER SKILLS

Languages: C, Fortran, Perl

Software Packages: SPlus, Stata, Minitab, Matlab, Mathematica

PRESENTATIONSStochastic Processes and Their Applications, Berlin, Germany 2009Department of Mathematics University of Augsburg, Germany 2009Fourth Statistical Days at University of Luxembourg, Luxembourg 2009Department of Mathematics, Munich Technical University, Germany 2008Annual Meeting of International Indian Statistical Association, Storrs, USA 2008Department of Statistics, University of California, Davis, USA 2007Computational And Financial Econometrics, Geneva, Switzerland 2007Department of Economics, University of California, Santa Cruz, USA 2007Smith School of Business, University of Maryland, USA 2007Conference on Multivariate Statistics, Indian Statistical Institute, Kolkata, India 2006Institute of Mathematical Statistics Annual meeting, Rio de Janeiro, Brazil 2006Department of Statistics, University of California, Davis, USA 2005Joint Statistical Meetings, Minneapolis, USA 2005Department of Economics, University of California, Davis, USA 2004Department of Operations Research and Financial Engineering, Princeton University, USA 2004Bell Laboratories, New Jersey, USA 2004American Mathematical Society Fall Southeastern Section Meeting, Orlando, USA 2002Joint Statistical Meetings, Atlanta, USA 2001

POSTER PRESENTATIONSOxford Man Institute Financial Econometrics & Vast Data Conference, Oxford, UK 2008Bachelier Finance conference, London, UK 2008Risk Analysis, Extreme Events and Decision Theory, SAMSI, USA 2007Model Risk Management and Model Specifications Issues in Finance, IMA, Minneapolis USA 2004

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