27 citations · 119 across the 13 of their papers we have counts for
4 papers · 1 filter
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…
Sequential hypothesis testing in machine learning, and crude oil price jump size detection
Michael Roberts, Indranil SenGupta
In this paper we present a sequential hypothesis test for the detection of general jump size distrubution. Infinitesimal generators for the corresponding log-likelihood ratios are…