270 citations · 352 across the 19 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…
math.PR2014
Exact Simulation of Multidimensional Reflected Brownian Motion
Jose Blanchet, Karthyek R. A. Murthy
We present the first exact simulation method for multidimensional reflected Brownian motion (RBM). Exact simulation in this setting is challenging because of the presence of correl…