1 citations · 2 across the 7 of their papers we have counts for
3 papers · 1 filter
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…