2 papers
stat.CO2026
dirichletprocess: An R Package for Fitting Complex Bayesian Nonparametric Models
Gordon J. Ross, Dean Markwick, Priyanshu Tiwari
The dirichletprocess package provides software for creating flexible Dirichlet process objects. Users can perform nonparametric Bayesian analysis using Dirichlet processes without…
q-fin.MF2025
Asian option valuation under price impact
Priyanshu Tiwari, Sourav Majumdar
We develop a tractable framework for valuing Asian options when trading the underlying generates market impact and execution costs. Starting from a discrete-time, quote-level model…