27 citations · 119 across the 13 of their papers we have counts for
6 papers · 1 filter
Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
Minglian Lin, Indranil SenGupta
In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At…
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…
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…
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model
Subhojit Biswas, Diganta Mukherjee, Indranil SenGupta
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price t…
First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
Shantanu Awasthi, Indranil SenGupta
In this paper, an approximate version of the Barndorff-Nielsen and Shephard model, driven by a Brownian motion and a Lévy subordinator, is formulated. The first-exit time of the lo…
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Humayra Shoshi, Indranil SenGupta
In this paper, a refined Barndorff-Nielsen and Shephard (BN-S) model is implemented to find an optimal hedging strategy for commodity markets. The refinement of the BN-S model is o…