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pro vyhledávání: '"Das, Milan Kumar"'
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 time series data using a thr
Externí odkaz:
http://arxiv.org/abs/1910.10606
Autor:
Das, Milan Kumar, Goswami, Anindya
Publikováno v:
Int. J. Financ. Eng. 6 (2019), no. 1, 1950006 (20 pages)
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, we have identified an adm
Externí odkaz:
http://arxiv.org/abs/1807.04393
Publikováno v:
Stoch. Anal. Appl. 36(2018), no. 4, 700-725
This paper studies pricing derivatives in an age-dependent semi-Markov modulated market. We consider a financial market where the asset price dynamics follow a regime switching geometric Brownian motion model in which the coefficients depend on finit
Externí odkaz:
http://arxiv.org/abs/1611.02026
Publikováno v:
SIAM J. Control Optim. 56 (2018), 1550-576
This article studies a portfolio optimization problem, where the market consisting of several stocks is modeled by a multi-dimensional jump-diffusion process with age-dependent semi-Markov modulated coefficients. We study risk sensitive portfolio opt
Externí odkaz:
http://arxiv.org/abs/1603.09149
Publikováno v:
In Procedia Materials Science 2014 6:741-751
Publikováno v:
In Procedia Materials Science 2014 6:729-740
Publikováno v:
In Procedia Materials Science 2014 5:1550-1559
Publikováno v:
In Procedia Engineering 2014 97:1587-1596
Akademický článek
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Publikováno v:
Sankhya B; May2023 Suppl 1, Vol. 85, p49-86, 38p