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Browsing by Author GOSWAMI, ANINDYA

Showing results 1 to 17 of 17

Issue Date | Title | Author(s) |

Feb-2011 | Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market | *Basak, Gopal K.; Ghosh, Mrinal K.; GOSWAMI, ANINDYA; Dept. of Mathematics* |

Dec-2013 | Risk-Sensitive Control for the Parallel Server Model | *Atar, Rami; GOSWAMI, ANINDYA; Shwartz, Adam; Dept. of Mathematics* |

Feb-2014 | On the risk-sensitive cost for a Markovian multiclass queue with priority | *Atar, Rami; GOSWAMI, ANINDYA; Shwartz, Adam; Dept. of Mathematics* |

Aug-2014 | Volterra equation for pricing and hedging in a regime switching market | *GOSWAMI, ANINDYA; Saini, Ravi Kant; Dept. of Mathematics* |

Jun-2016 | Convergence of estimated option price in a regime switching market | *GOSWAMI, ANINDYA; Nandan, Sanket; Dept. of Mathematics* |

Jul-2016 | A system of non-local parabolic PDE and application to option pricing | *GOSWAMI, ANINDYA; Patel, Jeeten; Shevgaonkar, Poorva; Dept. of Mathematics* |

Mar-2018 | Pricing derivatives in a regime switching market with time inhomogenous volatility | *DAS, MILAN KUMAR; GOSWAMI, ANINDYA; PATANKAR, TANMAY; Dept. of Mathematics* |

Apr-2018 | Risk sensitive portfolio optimization in a jump diffusion model with regimes | *DAS, MILAN KUMAR; GOSWAMI, ANINDYA; Rana, Nimit; Dept. of Mathematics* |

Jul-2018 | Option pricing in a regime switching stochastic volatility model | *Biswas, Arunangshu; GOSWAMI, ANINDYA; Overbeck, Ludger; Dept. of Mathematics* |

Mar-2019 | Testing of binary regime switching models using squeeze duration analysis | *DAS, MILAN KUMAR; GOSWAMI, ANINDYA; Dept. of Mathematics* |

2021 | Data-driven option pricing using single and multi-asset supervised learning | *GOSWAMI, ANINDYA; Rajani, Sharan; TANKSALE, ATHARVA; Dept. of Mathematics* |

Aug-2022 | Regime switching optimal growth model with risk sensitive preferences | *GOSWAMI, ANINDYA; Rana, Nimit; Siu,Tak Kuen; Dept. of Mathematics* |

Nov-2022 | Regime recovery using implied volatility in Markov modulated market model | *GOSWAMI, ANINDYA; Mukherjee, Kedar Nath; Patalwala, Irvine Homi; NADAHALLI, SATISH SANJAY; Dept. of Mathematics* |

May-2023 | Inference of Binary Regime Models with Jump Discontinuities | *Das, Milan Kumar; GOSWAMI, ANINDYA; Rajani, Sharan; Dept. of Mathematics* |

Jan-2024 | Locally risk minimizing pricing of Asian option in a semi-Markov modulated market | *CHATTERJEE, BIHAN; GOSWAMI, ANINDYA; Overbeck, Ludger; Dept. of Mathematics* |

Mar-2024 | On meeting and merging of stochastic flow of non-homogeneous Markov and semi-Markov dynamics | *GOSWAMI, ANINDYA; Sahab, Subhamay; YADAV, RAVISHANKAR KAPILDEV; Dept. of Mathematics* |

Mar-2024 | Semimartingale Representation of a Class of Semi-Markov Dynamics | *GOSWAMI, ANINDYA; Saha, Subhamay; YADAV, RAVISHANKAR KAPILDEV; Dept. of Mathematics* |