activity
20082025
most citedSmall-time asymptotics for fast mean-reverting stochastic volatility models

68 citations · 170 across the 13 of their papers we have counts for

collaborators

13 papers

physics.soc-ph2025

Undulating patterns of Hysteresis loops in diurnal seasonality of air temperature in Urban Heat Island effect: Insights from Paris and Madrid

Suman Dharmasthala, Vittal Hari, Rohini Kumar

This study examines the dynamics of the urban heat island (UHI) effect by conducting a comparative analysis of air temperature hysteresis patterns in Paris and Madrid, two major Eu…

q-fin.PR2024

Risk-indifference Pricing of American-style Contingent Claims

Rohini Kumar, Frederick "Forrest" Miller, Hussein Nasralah +1

This paper studies the pricing of contingent claims of American style, using indifference pricing by fully dynamic convex risk measures. We provide a general definition of risk-ind…

stat.AP2023★ 6 cited

Contemporary climate analogs project north-south polarization of urban water-energy nexus across US cities under warming climate

Renee Obringer, Roshanak Nateghi, Jessica Knee +2

Despite the coupled nature of water and electricity demand, the two utilities are often managed by different entities with minimal interaction. Neglecting the water-energy demand n…

physics.soc-ph2022

On the evolution of agricultural and non-agricultural produce flow network in India

Sujata S Kulkarni, Raviraj Dave, Udit Bhatia +1

Rising economic instability and continuous evolution in international relations demand a self-reliant trade and commodity flow networks at regional scales to efficiently address th…

cs.LG2019★ 30 cited

Integrated analysis of the urban water-electricity demand nexus in the Midwestern United States

Renee Obringer, Rohini Kumar, Roshanak Nateghi

Considering the interdependencies between water and electricity use is critical for ensuring conservation measures are successful in lowering the net water and electricity use in a…

math.PR2016

Asymptotic approximation of optimal portfolio for small time horizons

Rohini Kumar, Hussein Nasralah

We consider the problem of portfolio optimization in a simple incomplete market and under a general utility function. By working with the associated Hamilton-Jacobi-Bellman partial…