1 citations · 2 across the 7 of their papers we have counts for
7 papers
Foundation Time-Series AI Model for Realized Volatility Forecasting
Anubha Goel, Puneet Pasricha, Martin Magris +1
Time series foundation models (FMs) have emerged as a popular paradigm for zero-shot multi-domain forecasting. These models are trained on numerous diverse datasets and claim to be…
European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning
Naman Krishna Pande, Puneet Pasricha, Arun Kumar +1
In this article, we employ physics-informed residual learning (PIRL) and propose a pricing method for European options under a regime-switching framework, where closed-form solutio…
Time-Series Foundation AI Model for Value-at-Risk Forecasting
Anubha Goel, Puneet Pasricha, Juho Kanniainen
This study is the first to analyze the performance of a time-series foundation AI model for Value-at-Risk (VaR), which essentially forecasts the left-tail quantiles of returns. Fou…
Sparse Portfolio Selection via Topological Data Analysis based Clustering
Anubha Goel, Damir Filipović, Puneet Pasricha
This paper uses topological data analysis (TDA) tools and introduces a data-driven clustering-based stock selection strategy tailored for sparse portfolio construction. Our asset s…
Sparse Index Tracking via Topological Learning
Anubha Goel, Puneet Pasricha, Juho Kanniainen
In this research, we introduce a novel methodology for the index tracking problem with sparse portfolios by leveraging topological data analysis (TDA). Utilizing persistence homolo…
Empirical Asset Pricing via Ensemble Gaussian Process Regression
Damir Filipović, Puneet Pasricha
We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic informati…
A contagion process with self-exciting jumps in credit risk applications
Puneet Pasricha, Dharmaraja Selvamuthu, Selvaraju Natarajan
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlatio…