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  • Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market 
    Basak, Gopal K.; Ghosh, Mrinal K.; GOSWAMI, ANINDYA (Taylor & Francis, 2011-02)
    We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov ...
  • Risk-Sensitive Control for the Parallel Server Model 
    Atar, Rami; GOSWAMI, ANINDYA; Shwartz, Adam (Society for Industrial and Applied Mathematics, 2013-12)
    A Markovian queueing model is considered in which servers of various types work in parallel to process jobs from a number of classes at rates $\mu_{ij}$ that depend on the class, $i$, and the type, $j$. The problem of ...
  • On the risk-sensitive cost for a Markovian multiclass queue with priority 
    Atar, Rami; GOSWAMI, ANINDYA; Shwartz, Adam (Institute of Mathematical Statistics, 2014-02)
    A multi-class M/M/1 system, with service rate μin for class-i customers, is considered with the risk-sensitive cost criterion n−1logEexp∑iciXni(T), where ci>0, T>0 are constants, and Xni(t) denotes the class-i queue-length ...
  • Volterra equation for pricing and hedging in a regime switching market 
    GOSWAMI, ANINDYA; Saini, Ravi Kant (Taylor & Francis, 2014-08)
    It is known that the risk minimizing price of European options in Markov-modulated market satisfies a system of coupled PDE, known as generalized B–S–M PDE. In this paper, another system of equations, which can be categorized ...
  • Convergence of estimated option price in a regime switching market 
    GOSWAMI, ANINDYA; Nandan, Sanket (Springer Nature, 2016-06)
    In an observed semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the uniform convergence of estimated step function of transition ...
  • A system of non-local parabolic PDE and application to option pricing 
    GOSWAMI, ANINDYA; Patel, Jeeten; Shevgaonkar, Poorva (Taylor & Francis, 2016-07)
    This article includes a proof of well posedness of an initial-boundary value problem involving a system of non-local parabolic partial differential equation (PDE), which naturally arises in the study of derivative pricing ...
  • Pricing derivatives in a regime switching market with time inhomogenous volatility 
    DAS, MILAN KUMAR; GOSWAMI, ANINDYA; PATANKAR, TANMAY (Taylor & Francis, 2018-03)
    This paper studies pricing derivatives in a componentwise semi-Markov (CSM) modulated market. We consider a financial market where the asset price dynamics follows a regime switching geometric Brownian motion model in which ...
  • Risk sensitive portfolio optimization in a jump diffusion model with regimes 
    DAS, MILAN KUMAR; GOSWAMI, ANINDYA; Rana, Nimit (Society for Industrial and Applied Mathematics, 2018-04)
    This article studies a portfolio optimization problem, where the mar- ket consisting of several stocks is modeled by a multi-dimensional jump diffusion process with age-dependent semi-Markov modulated coefficients. We study ...
  • Option pricing in a regime switching stochastic volatility model 
    Biswas, Arunangshu; GOSWAMI, ANINDYA; Overbeck, Ludger (Elsevier B.V., 2018-07)
    We consider a regime switching stochastic volatility model where the stock volatility dynamics is a semi-Markov modulated square root mean reverting process. Under this model assumption, we find the locally risk minimizing ...
  • Testing of binary regime switching models using squeeze duration analysis 
    DAS, MILAN KUMAR; GOSWAMI, ANINDYA (World Scientific Publishing, 2019-03)
    We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric Brownian motion (GBM) model by proposing a new discriminating statistics. Given a time series ...
  • Data-driven option pricing using single and multi-asset supervised learning 
    GOSWAMI, ANINDYA; Rajani, Sharan; TANKSALE, ATHARVA (World Scientific Publishing Company, 2021)
    We propose three different data-driven approaches for pricing European-style call options using supervised machine-learning algorithms. These approaches yield models that give a range of fair prices instead of a single ...
  • Regime switching optimal growth model with risk sensitive preferences 
    GOSWAMI, ANINDYA; Rana, Nimit; Siu,Tak Kuen (Elsevier B.V., 2022-08)
    We consider a risk-sensitive optimization of consumption-utility on an infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described ...
  • Regime recovery using implied volatility in Markov modulated market model 
    GOSWAMI, ANINDYA; Mukherjee, Kedar Nath; Patalwala, Irvine Homi; NADAHALLI, SATISH SANJAY (Wiley, 2022-11)
    In the regime switching extension of Black–Scholes–Merton model of asset price dynamics, one assumes that the volatility coefficient evolves as a hidden pure jump process. Under the assumption of Markov regime switching, ...
  • Inference of Binary Regime Models with Jump Discontinuities 
    Das, Milan Kumar; GOSWAMI, ANINDYA; Rajani, Sharan (Springer Nature, 2023-05)
    Identifying the instances of jumps in a discrete-time-series sample of a jump diffusion model is a challenging task. We have developed a novel statistical technique for jump detection and volatility estimation in a return ...
  • Locally risk minimizing pricing of Asian option in a semi-Markov modulated market 
    CHATTERJEE, BIHAN; GOSWAMI, ANINDYA; Overbeck, Ludger (Taylor & Francis, 2024-01)
    We consider a regime-switching model where the stock volatility dynamics is a semi-Markov process. Under this model assumption, we find the locally risk-minimizing price of some Asian options with European-style exercise. ...
  • On meeting and merging of stochastic flow of non-homogeneous Markov and semi-Markov dynamics 
    GOSWAMI, ANINDYA; Sahab, Subhamay; YADAV, RAVISHANKAR KAPILDEV (Taylor & Francis, 2024-03)
    We consider a general class of semi-Markov processes on countable state-space, with a differentiable kernel such that the embedded Markov chain may not be homogeneous. Using an SDE representation of the process, we study ...
  • Semimartingale Representation of a Class of Semi-Markov Dynamics 
    GOSWAMI, ANINDYA; Saha, Subhamay; YADAV, RAVISHANKAR KAPILDEV (Springer, 2024-03)
    We consider a class of semi-Markov processes (SMP) such that the embedded discrete-time Markov chain may be non-homogeneous. The corresponding augmented processes are represented as semi-martingales using a stochastic ...