Publications (14)
Estimation of VaR with jump process: application in corn and soybean markets
Minglian Lin, Indranil SenGupta, William Wilson
Value at Risk (VaR) is a quantitative measure used to evaluate the risk linked to the potential loss of investment or capital. Estimation of the VaR entails the quantification of p…
Some asymptotics for short maturity Asian options
Humayra Shoshi, Indranil SenGupta
Most of the existing methods for pricing Asian options are less efficient in the limit of small maturities and small volatilities. In this paper, we use the large deviations theory…
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
Xianfei Hui, Baiqing Sun, Hui Jiang +1
In this paper we implement a combination of data-science and fuzzy theory to improve the classical Barndorff-Nielsen and Shephard model, and implement this to analyze the S&P 500 i…
Refinements of Barndorff-Nielsen and Shephard model: an analysis of crude oil price with machine learning
Indranil SenGupta, William Nganje, Erik Hanson
A commonly used stochastic model for derivative and commodity market analysis is the Barndorff-Nielsen and Shephard (BN-S) model. Though this model is very efficient and analytical…
Stochastic volatility modeling of high-frequency CSI 300 index and dynamic jump prediction driven by machine learning
Xianfei Hui, Baiqing Sun, Indranil SenGupta +2
This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. I…
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
Nicholas Salmon, Indranil SenGupta
In this paper, we introduce and analyze the fractional Barndorff-Nielsen and Shephard (BN-S) stochastic volatility model. The proposed model is based upon two desirable properties…