• Ph.D. in Statistics, London School of Economics  : 1999

Thesis Title : "Approximating functions of integrals of Log - Gaussian processes : Applications in finance"

• M.Sc. in Statistics, Indian Institute of Technology, Kanpur, India 1995

• B.Sc. in Statistics with Honours, Presidency College, India 1993

• Financial Applications of Stochastic Processes and Stochastic Probability.
• Asset and Derivative Pricing (using the Black-Scholes formula and further developments on it) - includes currency derivatives as well as interest rate derivatives.
• Interest Rate Modelling.
• Bond Pricing and Option Pricing, especially in the presence of stochastic volatility.
• Risk Management.
• Insurance and Reinsurance.

• Assitant Professor - Finance and Control Area, Indian Institute of Management, Bangalore (from August 2003) :
Teach MBA students - both in the regular course as well as in the part time courses, supervise projects as a part of the required course work for the MBA students, design, conduct as well as teach in the Executive Development Program conducted by the institute, offer consultancy services to the financial services industry as well as ensure a stream of output in terms of original research.
• Visiting Assitant Professor - Finance and Control Area, Indian Institute of Management, Bangalore (February 2002 - August 2003) :
Teach MBA students - both in the regular course as well as in the part time courses, supervise projects as a part of the required course work for the MBA students, offer consultancy services to the financial services industry as well as ensure a stream of output in terms of original research.
• Manager - Derivatives Research, ICICI Limited, Mumbai (February 2002 - August 2003) :
New product development – from conception to final amalgamation by the business groups, Quantitative analysis and support to the Balance Sheet Management Group of ICICI Treasury, Practical application driven original research in finance, Act as the Editor of Market Strategy – a forward looking strategy oriented fortnightly publication of the Treasury Research Group at ICICI, Co-ordinate Treasury/Finance related training, Set-up the ICICI Virtual University.
• Lecturer - Department of Actuarial Mathematics and Statistics, Heriot Watt University (April 2000 - December 2000) :
Responsibilities included teaching at both the undergraduate as well as the post graduate level, supervising master’s projects, supervise short term projects as well as original research.
• Lecturer - Department of Statistics, London School of Economics (1999 - 2000) :
Responsibilities included teaching at both the undergraduate as well as the post graduate level, supervising master’s projects, supervise short term projects as well as original research.
• Teacher - Department of Statistics, London School of Economics (1997 - 1999) :
Conducted tutorial classes for various the Statistcis courses for the undergraduate students as well as interacted with the students outside the class and helped them solve their difficulties with regards to the various courses..
• Teacher - Department of Operational Research, London School of Economics (1996) :
Conducted tutorial classes for the Operations Research courses for the postgraduate students as well as interacted with the students outside the class and helped them solve their difficulties with regards to the various courses.
• Officer - Exports, TELCO (India?s largest automobile company) (1995 - 1996):
Managed 100 workers and five supervisors as a part of the junior management team in the Exports division. In the process, I learnt to work as a member of a team while leading the group at the same time. I was also exposed to working under pressure and meeting deadlines.

• D. Kundu and S. Basu (2000); ?Analysis of incomplete data in the presence of competing risks?; Journal of Statistical Planning and Inference, 87/2, 221 - 239.
• "S. Basu and A. Dassios (1999); ?A Cox process with Log - Normal Intensity?; Under review at Insurance: Mathematics & Economics.
• "S. Basu and A. Dassios (1999); ?Approximating prices of bonds with log - normal interest rates?Under review at Journal of Applied Mathematics and Decision Sciences.
• "S. Basu and A. Dassios (1999); ?Pricing of call options on assets with stochastic volatility?; Under review at Journal of Computational Finance
• S. Basu and D. Kundu (1999); ?Competing RIsks and Incomplete Data?; Working Paper, Department of Statistics, London School of Economics (LSERR52).
• S. Basu and A. Dassios(1999); ?A Doubly Stochastic Poisson process with Log - Normal Intensity?; Working Paper, Department of Statistics, London School of Economics (LSERR53).
• S. Basu and A. Dassios(1999); ?Simple approximations of the Asian option?; Working Paper, Department of Statistics, London School of Economics (LSERR48).
• S. Basu and A. Dassios(1998); ?Approximations on the Log - Normal Stochastic Volatility Option Problem?; Working Paper, Department of Statistics, London School of Economics (LSERR45).
• S. Basu and A. Dassios(1997); ?Modelling interest rates and calculating bond prices?; Working Paper, Department of Statistics, London School of Economics (LSERR38).
• "S. Basu and G. Dutta(1999); ?A Survey of the Non-Optimization techniques used in an integrated steel plant?; Under review at International Transactions in Operations Research

• Choosing of an appropriate conditioning factor in pricing of bonds and options on assets with stochastic volatility.
• Pricing of bonds and options on a portfolio of a number of assets - the multi-driver situation.
• Pricing of options when the interest rate as well as the volatility is stochastic in nature, where the interest rate can be modelled as a log - normal distribution or under the Bruce - Gatarek - Musiela model.
• Extending the idea of pricing of bonds and options on assets with stochastic volatility in a non-Gaussian framework - a concept similar to the one used by Cox-Ingersoll-Ross on assets with no stochastic volatility.
• Obtaining the bounds to the prices of the bonds using the approximation technique used in my thesis when the interest rate can be modelled in the Bruce - Gatarek - Musiela set up.

• Invited to present a paper "Approximating prices of bonds with log - normal interest rate" at a workshop on Quantitative Methods in Finance organised by the French National Centre for Scientific Research at IAE - Aix en Provence, France on June 30^th, 1999.
• Invited to present a paper "The Calculation of European Options on Assets with Stochastic Volatility" at the International Conference on Mathematical Finance to be held is Hammamet, Tunisia between June 14^th - 18^th, 1999 - jointly with Dr. Angelos Dassios.
• Presented a paper "Approximating Call Options on Assets with Stochastic Volatility" at the 4^th Iranian International Statistical Conference held in Tehran in August 1998 - jointly with Dr. Angelos Dassios.
• Presented a poster "Approximations of log-normal interest rate models" at RSS 98 International Conference organised by The Royal Statistical Society at Glasgow in September 1998.
• Seminar on "Approximations of integrals of exponential functions of Gaussian processes" at Calcutta Management Association in December 1997.
• Presented a paper "A Survey of the Non-Optimization techniques used in an integrated steel plant" at the EURO - INFORMS 1997 conference held in Barcelona in July 1997 - jointly with Dr. Goutam Dutta.

Proficient on both the UNIX as well as the PC environment. Familiar with standard packages like MS-Office, Scientific Word including Maple, Latex 2e and statistical packages like Splus, SPSS, Mathamatica and Minitab. Fortran 77 for programming.

• Member of the Dean's Committee for Research Students at the LSE for the year 1998-99.
• Examiner for the University of London External Degree.
• Do book reviews for the ?Journal of Applied Probability?.
• Actively involved with the SPIC MACAY - an organisation which promotes Indian classical music and culture among youth.
• Photographer and sports enthusiast, especially cricket and bridge.
• I was one of the chief organisers and Chairman of the Reception Committee for the 175th Anniversary Celebrations of Presidency College, Calcutta, in 1993. It was a week long program inaugurated by His Excellency, The President of India, Dr. Shanker Dayal Sharma and was attended by a host of leading academicians, top industrialists and alumni. I played a significant role in organising the annual Presidency College, Calcutta fest, ?Milieu? for the three years from 1990 to 1992.

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