Anubha Goel

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Deviation measure in second‐order stochastic dominance with an application to enhanced indexing International Transactions in Operational Research	2023-11-21	Paper
A closed-form pricing formula for catastrophe equity options Probability in the Engineering and Informational Sciences	2022-11-22	Paper
A closed-form pricing formula for european exchange options with stochastic volatility Probability in the Engineering and Informational Sciences	2022-11-22	Paper
A bivariate Markov modulated intensity model: applications to insurance and credit risk modelling Stochastics	2022-07-06	Paper
Mixed value-at-risk and its numerical investigation Physica A	2022-05-16	Paper
Robust omega ratio optimization using regular vines Optimization Letters	2021-08-19	Paper
Pricing power exchange options with Hawkes jump diffusion processes Journal of Industrial and Management Optimization	2021-06-09	Paper
Pricing vulnerable power exchange options in an intensity based framework Journal of Computational and Applied Mathematics	2019-06-20	Paper
Robust optimization of mixed CVaR STARR ratio using copulas Journal of Computational and Applied Mathematics	2018-12-06	Paper
Index tracking and enhanced indexing using mixed conditional value-at-risk Journal of Computational and Applied Mathematics	2018-04-16	Paper

Research outcomes over time

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