Dr Kaustav Das

 

T: +61 3 99050926
E: Kaustav.Das@monash.edu

Research Overview

My research interests include probability theory, stochastic analysis, and mathematical finance.

Currently, I am primarily interested in exploring the connection between the areas of stochastic partial differential equations (SPDEs) and mathematical finance. I am also interested in properties of fractional Brownian motion, in particular studying regularity properties of various objects that depend on it, such as local times.

Selected Publications

[1] Das, K., & Markowsky, G. (2021). Existence, renormalization, and regularity properties of higher order derivatives of self-intersection local time of fractional Brownian motion. Stochastic Analysis and Applications, 1-25.

[2] Kaustav Das & Nicolas Langrené (2021) Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility, Stochastics, DOI: 10.1080/17442508.2021.1993445