Anindya Goswami

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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
Regime recovery using implied volatility in Markov modulated market model Applied Stochastic Models in Business and Industry	2024-07-29	Paper
Locally risk minimizing pricing of Asian option in a semi-Markov modulated market Stochastic Analysis and Applications	2024-04-18	Paper
Semimartingale representation of a class of semi-Markov dynamics Journal of Theoretical Probability	2024-04-02	Paper
Inference of binary regime models with jump discontinuities Sankhyā. Series B	2023-06-30	Paper
Regime switching optimal growth model with risk sensitive preferences Journal of Mathematical Economics	2022-08-12	Paper
On Merging of Stochastic Flow of Semi-Markov Dynamics	2022-01-15	Paper
Option Pricing in a Regime Switching Jump Diffusion Model	2018-11-27	Paper
Pricing derivatives in a regime switching market with time inhomogenous volatility Stochastic Analysis and Applications	2018-10-09	Paper
Option pricing in a regime switching stochastic volatility model Statistics & Probability Letters	2018-06-20	Paper
Risk sensitive portfolio optimization in a jump diffusion model with regimes SIAM Journal on Control and Optimization	2018-04-25	Paper
Convergence of estimated option price in a regime switching market Indian Journal of Pure & Applied Mathematics	2016-12-13	Paper
A system of non-local parabolic PDE and application to option pricing Stochastic Analysis and Applications	2016-09-26	Paper
Marginalization for rare event simulation in switching diffusions	2014-12-18	Paper
On the risk-sensitive cost for a Markovian multiclass queue with priority Electronic Communications in Probability	2014-09-22	Paper
Risk-Sensitive Control for the Parallel Server Model SIAM Journal on Control and Optimization	2014-04-11	Paper
Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market Stochastic Analysis and Applications	2011-04-19	Paper
Risk Minimizing Option Pricing in a Semi-Markov Modulated Market SIAM Journal on Control and Optimization	2010-06-10	Paper
Portfolio optimization in a semi-Markov modulated market Applied Mathematics and Optimization	2010-01-18	Paper
Partially observed semi-Markov zero-sum games with average payoff Journal of Mathematical Analysis and Applications	2008-06-24	Paper
Partially Observable Semi-Markov Games with Discounted Payoff Stochastic Analysis and Applications	2007-02-15	Paper
A novel difference equation approach for the stability and robustness of compact schemes for variable coefficient PDEs (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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