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Anindya Goswami
Anindya Goswami
Associate Professor of Mathematics, IISER Pune
Verified email at iiserpune.ac.in - Homepage
Title
Cited by
Cited by
Year
Risk minimizing option pricing in a semi-Markov modulated market
MK Ghosh, A Goswami
SIAM Journal on control and Optimization 48 (3), 1519-1541, 2009
512009
Risk minimizing option pricing for a class of exotic options in a Markov-modulated market
GK Basak, MK Ghosh, A Goswami
Stochastic Analysis and Applications 29 (2), 259-281, 2011
442011
Option Pricing in a Regime Switching Stochastic Volatility Model
A Biswas, A Goswami, L Overbeck
Statistics & Probability Letters 138, 116-126, 2018
262018
Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
MK Das, A Goswami, N Rana
SIAM J. Control Optim. 56 (2), 1550–1576, 2018
192018
A system of non-local parabolic PDE and application to option pricing
A Goswami, J Patel, P Sevgaonkar
Stoch. Anal. Appl. 34 (5), 893-905, 2016
17*2016
Pricing Derivatives in a Regime Switching Market with Time Inhomogeneous Volatility
MK Das, A Goswami, TS Patankar
Stoch. Anal. Appl. 36 (4), 700-725, 2018
16*2018
Risk-sensitive control for the parallel server model
R Atar, A Goswami, A Shwartz
SIAM Journal on Control and Optimization 51 (6), 4363-4386, 2013
132013
Portfolio optimization in a semi-Markov modulated market
MK Ghosh, A Goswami, SK Kumar
Applied Mathematics and Optimization 60 (2), 275-296, 2009
132009
Volterra equation for pricing and hedging in a regime switching market
A Goswami, RK Saini
Cogent Economics & Finance 2 (1), 939769, 2014
122014
Convergence of Estimated Option Price in a Regime switching Market
A Goswami, S Nandan
Indian J. Pure Appl. Math. 47 (2), 169-182, 2016
82016
Partially observable semi-Markov games with discounted payoff
MK Ghosh, A Goswami
Stochastic analysis and applications 24 (5), 1035-1059, 2006
82006
Option Pricing in a Regime Switching Jump Diffusion Model
A Goswami, O Manjarekar, A R
arXiv preprint arXiv:1811.11379, 2019
62019
Portfolio optimization in a markov modulated market
MK Ghosh, A Goswami, S Kumar
Modern Trends in Controlled Stochastic Processes, 181-195, 2010
6*2010
On the risk-sensitive cost for a Markovian multiclass queue with priority
R Atar, A Goswami, A Shwartz
Electron. Commun. Probab 19 (11), 1-13, 2014
5*2014
Partially observed semi-Markov zero-sum games with average payoff
MK Ghosh, A Goswami
Journal of mathematical analysis and applications 345 (1), 26-39, 2008
42008
Semimartingale Representation of a Class of Semi-Markov Dynamics
A Goswami, S Saha, RK Yadav
Journal of Theoretical Probability, 1-22, 2023
32023
Data-driven option pricing using single and multi-asset supervised learning
A Goswami, S Rajani, A Tanksale
International Journal of Financial Engineering 8 (02), 2141001, 2021
32021
Inference of Binary Regime Models with Jump Discontinuities
MK Das, A Goswami, S Rajani
arXiv preprint arXiv:1910.10606, 2019
32019
Testing of Binary Regime Switching Models using Squeeze Duration Analysis
MK Das, A Goswami
International Journal of Financial Engineering, 2019
32019
Regime recovery using implied volatility in Markov modulated market model
A Goswami, KN Mukherjee, IH Patalwala, NS Sanjay
Applied Stochastic Models in Business and Industry 38 (6), 1127-1143, 2022
22022
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