Ankush Agarwal

Available identifiers

Publication	Date of Publication	Type
Penalized Estimation of Sparse Markov Regime-Switching Vector Auto-Regressive Models	2024-10-31	Paper
Hedging longevity risk in defined contribution pension schemes	2023-12-14	Paper
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent	2023-10-20	Paper
A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps	2022-07-06	Paper
American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics	2021-07-16	Paper
Study of new rare event simulation schemes and their application to extreme scenario generation	2021-03-01	Paper
The implied Sharpe ratio	2020-12-07	Paper
Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method	2020-06-09	Paper
Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements	2019-07-11	Paper
Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio	2018-08-10	Paper
Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options	2015-04-01	Paper
Efficient simulation of large deviation events for sums of random vectors using saddle-point representations	2013-10-17	Paper

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