8 citations · 12 across the 6 of their papers we have counts for
6 papers
An Introduction to Hedge Funds
Sovan Mitra
This report was originally written as an industry white paper on Hedge Funds. This paper gives an overview to Hedge Funds, with a focus on risk management issues. We define and exp…
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Sovan Mitra
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consis…
Regime Switching Volatility Calibration by the Baum-Welch Method
Sovan Mitra
Regime switching volatility models provide a tractable method of modelling stochastic volatility. Currently the most popular method of regime switching calibration is the Hamilton…
A Review of Volatility and Option Pricing
Sovan Mitra
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant v…
Optimisation of Stochastic Programming by Hidden Markov Modelling based Scenario Generation
Sovan Mitra
This paper formed part of a preliminary research report for a risk consultancy and academic research. Stochastic Programming models provide a powerful paradigm for decision making…
Risk Measures in Quantitative Finance
Sovan Mitra
This paper was presented and written for two seminars: a national UK University Risk Conference and a Risk Management industry workshop. The target audience is therefore a cross se…