1 citations · 1 across the 3 of their papers we have counts for
3 papers
q-fin.MF2025
On Time-subordinated Brownian Motion Processes for Financial Markets
Rohan Shenoy, Peter Kempthorne
In the context of time-subordinated Brownian motion models, Fourier theory and methodology are proposed to modelling the stochastic distribution of time increments. Gaussian Varian…
q-fin.MF2025
The Variance-Gamma Process for Option Pricing
Rohan Shenoy, Peter Kempthorne
This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixt…
math.PR2025★ 1 cited
The discrete renewal theorem with bounded interevent times
Rohan Shenoy
The purpose of this note is to prove the celebrated Discrete Renewal Theorem in a common special case. We use only very elementary methods from real analysis, rather than markov ch…