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Browsing by Author GOSWAMI, ANINDYA

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Issue DateTitleAuthor(s)
Feb-2011Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated MarketBasak, Gopal K.; Ghosh, Mrinal K.; GOSWAMI, ANINDYA; Dept. of Mathematics
Dec-2013Risk-Sensitive Control for the Parallel Server ModelAtar, Rami; GOSWAMI, ANINDYA; Shwartz, Adam; Dept. of Mathematics
Feb-2014On the risk-sensitive cost for a Markovian multiclass queue with priorityAtar, Rami; GOSWAMI, ANINDYA; Shwartz, Adam; Dept. of Mathematics
Aug-2014Volterra equation for pricing and hedging in a regime switching marketGOSWAMI, ANINDYA; Saini, Ravi Kant; Dept. of Mathematics
Jun-2016Convergence of estimated option price in a regime switching marketGOSWAMI, ANINDYA; Nandan, Sanket; Dept. of Mathematics
Jul-2016A system of non-local parabolic PDE and application to option pricingGOSWAMI, ANINDYA; Patel, Jeeten; Shevgaonkar, Poorva; Dept. of Mathematics
Mar-2018Pricing derivatives in a regime switching market with time inhomogenous volatilityDAS, MILAN KUMAR; GOSWAMI, ANINDYA; PATANKAR, TANMAY; Dept. of Mathematics
Apr-2018Risk sensitive portfolio optimization in a jump diffusion model with regimesDAS, MILAN KUMAR; GOSWAMI, ANINDYA; Rana, Nimit; Dept. of Mathematics
Jul-2018Option pricing in a regime switching stochastic volatility modelBiswas, Arunangshu; GOSWAMI, ANINDYA; Overbeck, Ludger; Dept. of Mathematics
Mar-2019Testing of binary regime switching models using squeeze duration analysisDAS, MILAN KUMAR; GOSWAMI, ANINDYA; Dept. of Mathematics
2021Data-driven option pricing using single and multi-asset supervised learningGOSWAMI, ANINDYA; Rajani, Sharan; TANKSALE, ATHARVA; Dept. of Mathematics
Aug-2022Regime switching optimal growth model with risk sensitive preferencesGOSWAMI, ANINDYA; Rana, Nimit; Siu,Tak Kuen; Dept. of Mathematics
Nov-2022Regime recovery using implied volatility in Markov modulated market modelGOSWAMI, ANINDYA; Mukherjee, Kedar Nath; Patalwala, Irvine Homi; NADAHALLI, SATISH SANJAY; Dept. of Mathematics
May-2023Inference of Binary Regime Models with Jump DiscontinuitiesDas, Milan Kumar; GOSWAMI, ANINDYA; Rajani, Sharan; Dept. of Mathematics
Jan-2024Locally risk minimizing pricing of Asian option in a semi-Markov modulated marketCHATTERJEE, BIHAN; GOSWAMI, ANINDYA; Overbeck, Ludger; Dept. of Mathematics
Mar-2024On meeting and merging of stochastic flow of non-homogeneous Markov and semi-Markov dynamicsGOSWAMI, ANINDYA; Sahab, Subhamay; YADAV, RAVISHANKAR KAPILDEV; Dept. of Mathematics
Mar-2024Semimartingale Representation of a Class of Semi-Markov DynamicsGOSWAMI, ANINDYA; Saha, Subhamay; YADAV, RAVISHANKAR KAPILDEV; Dept. of Mathematics
Apr-2025A novel difference equation approach for the stability and robustness of compact schemes for variable coefficient PDEsGOSWAMI, ANINDYA; Patel, Kuldip Singh; Sahu, Pradeep Kumar; Dept. of Mathematics
Oct-2025A market resilient data-driven approach to option pricingGOSWAMI, ANINDYA; Rana, Nimit; Dept. of Mathematics
Oct-2025Domain truncation error analysis for a multidimensional system of PDEs of option pricesGOSWAMI, ANINDYA; Patel, Kuldip Singh; Dept. of Mathematics
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