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q-fin.MF2020
Multi-asset Generalised Variance Swaps in Barndorff-Nielsen and Shephard model
Subhojit Biswas, Diganta Mukherjee, Indranil SenGupta
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigenvalue and trace of the covariance matrix of the assets involved. We price t…
q-fin.MF2019
Optimizing Execution Cost Using Stochastic Control
Akshay Bansal, Diganta Mukherjee
We devise an optimal allocation strategy for the execution of a predefined number of stocks in a given time frame using the technique of discrete-time Stochastic Control Theory for…
q-fin.MF2019
A Proposal for Multi-asset Generalised Variance Swaps
Subhojit Biswas, Diganta Mukherjee
This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price…