Instruction for new graduate students from
Research
Interests
My main interest is
statistical methods in continuous stochastic process, with the application in
finance and neural science, including stochastic volatility estimation, jump
component testing and estimation, and model calibration (parameter estimation)
under semimartingale (levy process).
In addition, I have
interests in machine learning and Bayesian data analysis.
PHD
Candidate 2006-2010 (Expected)
Department of Statistics, University of Pittsburgh
Advisor: Satish Iyengar
Office: 2617 Cathedral of
Learning Email: naz11@pitt.edu
Summer
Intern in Commercial Actuarial Strategic Development May,2009-August,
2009
Co-op/BioPham
Discovery Statistician
June,2008-December, 2008
Bachelor
of Science
2002-2006
Department of Mathematics and Applied
Mathematics, Zhejiang University
Affiliated
with ChuKechen Honors
College, a program for outstanding students.
Study-Basic
Knowledge
Stochastical
Process
Machine
Learning
· Combine
labeled and unlabeled data
Statistics
and Probability
· Point Estimations
· Interval Estimations
· Hypothesis Testing
· Exchangeable random variables
Bayesian
Analysis
Finance
Testing and Estimation of Jumps in Continuous
Stochastic Processes Based on High Frequency Data
with Microstructure Noise (Ph.D.
Thesis)
Dose Response and Bayesian Adaptive Design with
PK/PD Models (Jun 2008~Dec 2008)
Pricing in Electricity Market with Stochastic
Volatility Models (Nov 2007~ Dec 2008)
§ Built the Stochastic Volatility
models for the electricity prices
§ Calibrated models with Bayesian
methods based on historical data
§ Designed statistical testing to
compare fitting goodness of different models
Bayesian GAM Models for FMRI Event-Related
Connectivity Analyses (Jan 2008~April 2008)
§
Applied
Hierarchical linear models combined with Spline to smooth the FMRI data.
§
Used longitudinal
data analysis to build the connection between blood pressure and FMRI.
TAN Network Classification for Cognitive States
from Brain Images (Jan 2007~May 2007)
|
Theory
of Statistics |
|
Linear
Model Theory |
|
Asymptotic
Methods in Statistics |
|
Applied
Statistical Methods I & II |
|
|
|
Probability
Theory I & IIStochastic Differential Equations |
|
|
|
|
|
Mathematics
of Finance I & II |
|
Time
Series |
|
|
|
Machine
Learning(Course at CMU) |
|
Bayesian
Dynamic Linear & Non-Linear Models |
|
Applied
Nonparametric Statistics |
|
Survival
Analysis |
Journals
in Statistics
· Annals
of Statistics · Annals
of Applied Statistics · Annals
of Probability
· Bernoulli
· Annals
of Applied Probability · Journal
of the American Statistical Association
Journals
in Economics & Finance
· Economica ·
Journal
of Econometrics
Mathematical
Finance
· Bloomberg
· WILMOTT
· WSJ
· Quantnet
· Global Derivatives · VN
Quantitative Finance
· 金融界
· 中文WSJ
· 和讯
· Financial Times