4 papers
A new generalized newsvendor model with random demand
Soham Ghosh, Mamta Sahare, Sujay Mukhoti
Newsvendor problem is an extensively researched topic in inventory management. In this class of inventory problems, shortage and excess costs are considered to be proportional to t…
A New Class of Discrete-time Stochastic Volatility Model with Correlated Errors
Sujay Mukhoti, Pritam Ranjan
In an efficient stock market, the returns and their time-dependent volatility are often jointly modeled by stochastic volatility models (SVMs). Over the last few decades several SV…
Inverse problem for time-series valued computer model via scalarization
Pritam Ranjan, Mark Thomas, Holger Teismann +1
For an expensive to evaluate computer simulator, even the estimate of the overall surface can be a challenging problem. In this paper, we focus on the estimation of the inverse sol…
Mean-correction and Higher Order Moments for a Stochastic Volatility Model with Correlated Errors
Sujay Mukhoti, Pritam Ranjan
In an efficient stock market, the log-returns and their time-dependent variances are often jointly modelled by stochastic volatility models (SVMs). Many SVMs assume that errors in…