Carsten Chong
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Contact: Columbia University Office: 901B, SSW Building |
About me
Starting from Fall 2020, I am an Assistant Professor in the Department of Statistics at Columbia University. Prior to this, I did my PhD at the Technical University of Munich under the supervision of Claudia Klüppelberg and Jean Jacod and spent a couple of years as a postdoc in the group of Robert Dalang at EPFL.
Curriculum Vitae
You can download my CV here (last update: September 2022).
My Research
My current research interests are primarily focused on statistical inference problems for stochastic processes, with an emphasis on high-frequency techniques and applications to financial econometrics.
I am also interested in the area of stochastic partial differential equations, in particular, in stochastic PDEs driven by Lévy noises, which, in contrast to Gaussian noises, typically have discontinuous and/or heavy-tailed components.
During my PhD studies, I also worked on topics such as graphical models in finance, mean-field theory, stochastic integration theory, and volatility modeling.