22 citations · 64 across the 18 of their papers we have counts for
19 papers
A market resilient data-driven approach to option pricing
Anindya Goswami, Nimit Rana
In this paper, we present a data-driven ensemble approach for option price prediction whose derivation is based on the no-arbitrage theory of option pricing. Using the theoretical…
Estimation of domain truncation error for a system of PDEs arising in option pricing
Anindya Goswami, Kuldip Singh Patel
In this paper, a multidimensional system of parabolic partial differential equations arising in European option pricing under a regime-switching market model is studied in details.…
A semi-Markovian approach to model the tick-by-tick dynamics of stock price
Garima Agrawal, Anindya Goswami
We model the stock price dynamics through a semi-Markov process obtained using a Poisson random measure. We establish the existence and uniqueness of the classical solution of a no…
A novel difference equation approach for the stability and robustness of compact schemes for variable coefficient PDEs
Anindya Goswami, Kuldip Singh Patel, Pradeep Kumar Sahu
Fourth-order accurate compact schemes for variable coefficient convection diffusion equations are considered. A sufficient condition for the stability of the fully discrete problem…
Regime recovery using implied volatility in Markov modulated market model
Anindya Goswami, Kedar Nath Mukherjee, Irvine Homi Patalwala +1
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 th…
On Merging of Stochastic Flow of Semi-Markov Dynamics
Anindya Goswami, Ravishankar Kapildev Yadav
Given a semi-Markov law, using an additional parameter, we consider a family of stochastic flows corresponding to that law. Then we suitably select a particular flow, for which we…
Matrix method stability and robustness of compact schemes for parabolic PDEs
Anindya Goswami, Kuldip Singh Patel
The fully discrete problem for convection-diffusion equation is considered. It comprises compact approximations for spatial discretization, and Crank-Nicolson scheme for temporal d…
Regime Switching Optimal Growth Model with Risk Sensitive Preferences
Anindya Goswami, Nimit Rana, Tak Kuen Siu
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evoluti…
Data-Driven Option Pricing using Single and Multi-Asset Supervised Learning
Anindya Goswami, Sharan Rajani, Atharva Tanksale
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 ra…
Inference of Binary Regime Models with Jump Discontinuities
Milan Kumar Das, Anindya Goswami, Sharan Rajani
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 detect…
Option Pricing in a Regime Switching Jump Diffusion Model
Anindya Goswami, Omkar Manjarekar, Anjana R
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The r…
Testing of Binary Regime Switching Models using Squeeze Duration Analysis
Milan Kumar Das, Anindya Goswami
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 discrimi…
Option Pricing in a Regime Switching Stochastic Volatility Model
Arunangshu Biswas, Anindya Goswami, Ludger Overbeck
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the vola…
Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
Milan Kumar Das, Anindya Goswami, Tanmay S. Patankar
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 geo…
Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
Milan Kumar Das, Anindya Goswami, Nimit Rana
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 sem…
Convergence of Estimated Option Price in a Regime switching Market
Anindya Goswami, Sanket Nandan
In an observed generalized semi-Markov regime, estimation of transition rate of regime switching leads towards calculation of locally risk minimizing option price. Despite the unif…
A system of non-local parabolic PDE and application to option pricing
Anindya Goswami, Jeeten Patel, Poorva Shevgaonkar
This paper includes a proof of well-posedness of an initial-boundary value problem involving a system of degenerate non-local parabolic PDE which naturally arises in the study of d…
Marginalization for rare event simulation in switching diffusions
Anindya Goswami, François Le Gland
In this paper we use splitting technique to estimate the probability of hitting a rare but critical set by the continuous component of a switching diffusion. Instead of following c…
The optimal hedging in a semi-Markov modulated market
Anindya Goswami, Jeeten Patel, Poorva Sevgaonkar
This paper includes an original self contained proof of well-posedness of an initial-boundary value problem involving a non-local parabolic PDE which naturally arises in the study…