16 citations · 24 across the 4 of their papers we have counts for
4 papers
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…
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…
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…