22 citations · 22 across the 3 of their papers we have counts for
4 papers
Option Pricing in a Regime Switching Stochastic Volatility Model
Arunangshu Biswas, Anindya Goswami, Ludger Overbeck
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the vola…
Diffusive Limits for Adaptive MCMC for Normal Target densities
Gopal K. Basak, Arunangshu Biswas
In this paper we apply the Diffusion approximation procedure to a discrete time Adaptive Markov Chain Monte Carlo (AMCMC) method when the target distribution is standard Normal. We…
Langevin type limiting processes for Adaptive MCMC
Gopal K. Basak, Arunangshu Biswas
Adaptive Markov Chain Monte Carlo (AMCMC) is a class of MCMC algorithms where the proposal distribution changes at every iteration of the chain. In this case it is important to ver…
Process convergence of self normalized sums of i.i.d. random variables coming from domain of attraction of stable distributions
G K Basak, Arunangshu Biswas
In this paper we show that the continuous version of the self normalised process where and $…