16 citations · 24 across the 4 of their papers we have counts for
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q-fin.PR2016★ 8 cited
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…
q-fin.PM2016★ 16 cited
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…