Indranil SenGupta

Available identifiers

zbMath Open sengupta.indranilMaRDI QIDQ411466

List of research outcomes

Publication	Date of Publication	Type
Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets	2024-12-06	Paper
Some asymptotics for short maturity Asian options	2023-02-10	Paper
First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process	2020-06-12	Paper
Numerical methods applied to option pricing models with transaction costs and stochastic volatility	2019-02-06	Paper
Generalized BN-S stochastic volatility model for option pricing	2016-04-14	Paper
PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options	2015-10-23	Paper
Pricing Asian options in financial markets using Mellin transforms	2015-04-27	Paper
Superradiance problem in a 3D annular domain	2015-03-02	Paper
Option pricing with transaction costs and stochastic volatility	2014-08-25	Paper
Nonlinear problems modeling stochastic volatility and transaction costs	2014-01-17	Paper
Detecting market crashes by analysing long-memory effects using high-frequency data	2014-01-17	Paper
Spherical harmonics approach to parabolic partial differential equations	2012-12-28	Paper
Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance	2012-11-30	Paper
Concentration problems for bandpass filters in communication theory over disjoint frequency intervals and numerical solutions	2012-05-23	Paper
Two-point boundary value problems for a class of second-order ordinary differential equations	2012-05-14	Paper
Solution to a nonlinear Black-Scholes equation	2012-04-27	Paper
Numerical solutions for option pricing models including transaction costs and stochastic volatility	2012-04-04	Paper
Solutions to integro-differential problems arising on pricing options in a Lévy market	2012-04-04	Paper
Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market	2012-02-05	Paper
Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market	2011-10-24	Paper
Spectral analysis for a three-dimensional superradiance problem	2011-01-07	Paper
Differential operator related to the generalized superradiance integral equation	2010-07-07	Paper

Research outcomes over time

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