11 citations · 49 across the 26 of their papers we have counts for
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q-fin.ST2014
Incorporating Views on Marginal Distributions in the Calibration of Risk Models
Santanu Dey, Sandeep Juneja, Karthyek R. A. Murthy
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in th…
q-fin.ST2012★ 9 cited
Incorporating fat tails in financial models using entropic divergence measures
Santanu Dey, Sandeep Juneja
In the existing financial literature, entropy based ideas have been proposed in portfolio optimization, in model calibration for options pricing as well as in ascertaining a pricin…