9 citations · 10 across the 4 of their papers we have counts for
4 papers
Best arm identification in rare events
Anirban Bhattacharjee, Sushant Vijayan, Sandeep K Juneja
We consider the best arm identification problem in the stochastic multi-armed bandit framework where each arm has a tiny probability of realizing large rewards while with overwhelm…
Exact and efficient simulation of tail probabilities of heavy-tailed infinite series
Henrik Hult, Sandeep Juneja, Karthyek Murthy
We develop an efficient simulation algorithm for computing the tail probabilities of the infinite series when random variables are heavy-tailed.…
Incorporating Views on Marginal Distributions in the Calibration of Risk Models
Santanu Dey, Sandeep Juneja, Karthyek R. A. Murthy
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in th…
Incorporating fat tails in financial models using entropic divergence measures
Santanu Dey, Sandeep Juneja
In the existing financial literature, entropy based ideas have been proposed in portfolio optimization, in model calibration for options pricing as well as in ascertaining a pricin…