4 papers
Physical Extinction and Long-Run Pricing under Time-Varying Beliefs
Sourav Majumdar
An investor may be optimistic about aggregate endowment growth at some times and pessimistic at others. The weight placed on her forecast in bond valuation can therefore vary acros…
A Circular Chatterjee's Correlation Coefficient
Sourav Majumdar
Chatterjee's rank correlation is a directed measure of association designed to detect whether one variable can be predicted as a function of another. While the original coefficient…
A stochastic correlation extension of the Vasicek credit risk model
Dhruv Bansal, Mayank Goud, Sourav Majumdar
In this paper we extend the Vasicek credit risk model by modelling the correlation as a continuous-time process. The models for correlation follow diffusion processes on the circle…
Markov processes on a circular lattice
Sourav Majumdar
We develop a Markov process viewpoint for discrete circular distributions motivated by directional-statistics settings where angles are observed on a finite grid and evolve over ti…