Citations (18)
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Milan Kumar Das, Anindya Goswami & Tanmay S. Patankar. (2018) Pricing derivatives in a regime switching market with time inhomogenous volatility. Stochastic Analysis and Applications 36:4, pages 700-725.
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Anindya Goswami, Jeeten Patel & Poorva Shevgaonkar. (2016) A system of non-local parabolic PDE and application to option pricing. Stochastic Analysis and Applications 34:5, pages 893-905.
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Wei Wang, Zhuo Jin, Linyi Qian & Xiaonan Su. (2016) Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models. Stochastic Analysis and Applications 34:4, pages 662-678.
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Wei Wang, Linyi Qian & Wensheng Wang. (2016) Hedging of contingent claims written on non traded assets under Markov-modulated models. Communications in Statistics - Theory and Methods 45:12, pages 3577-3595.
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Anindya Goswami & Ravi Kant Saini. (2014) Volterra equation for pricing and hedging in a regime switching market. Cogent Economics & Finance 2:1.
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Amogh Deshpande. (2014) Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization. Stochastic Analysis and Applications 32:6, pages 911-933.
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Tamal Banerjee, MrinalK. Ghosh & SrikanthK. Iyer. (2012) Pricing Defaultable Bonds in a Markov Modulated Market. Stochastic Analysis and Applications 30:3, pages 448-475.
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Articles from other publishers (11)
Anindya Goswami, Kedar Nath Mukherjee, Irvine Homi Patalwala & Nadahalli Satish Sanjay. (2022) Regime recovery using implied volatility in Markov modulated market model. Applied Stochastic Models in Business and Industry 38:6, pages 1127-1143.
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Tatiana Averina & Konstantin Rybakov. (2018) Systems with regime switching on manifolds. Systems with regime switching on manifolds.
Anindya Goswami & Sanket Nandan. (2016) Convergence of estimated option price in a regime switching market. Indian Journal of Pure and Applied Mathematics 47:2, pages 169-182.
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Lin-yi Qian, Wei Wang & Rong-ming Wang. (2015) Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model. Acta Mathematicae Applicatae Sinica, English Series 31:1, pages 101-110.
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Srikanth K. Iyer, Seema Nanda & Swapnil Kumar. (2013) An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data. Asia-Pacific Financial Markets 20:3, pages 243-259.
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Linyi Qian, Wei Wang & Rongming Wang. (2013) Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model. Journal of Industrial & Management Optimization 9:2, pages 411-429.
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Amogh Deshpande. (2012) Asymptotic Stability of Semi-Markov Modulated Jump Diffusions. International Journal of Stochastic Analysis 2012, pages 1-17.
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Linyi Qian, Hailiang Yang & Rongming Wang. (2011) Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model. Frontiers of Mathematics in China 6:6, pages 1185-1202.
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Amogh Deshpande. (2010) A Simple Novel Approach to Valuing Risky Zero Coupon Bond in a Markov Regime Switching Economy. Methodology and Computing in Applied Probability 13:4, pages 783-800.
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Arnab Basu & Mrinal K. Ghosh. (2009) Asymptotic analysis of option pricing in a Markov modulated market. Operations Research Letters 37:6, pages 415-419.
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Mrinal K. Ghosh & Anindya Goswami. (2009) Risk Minimizing Option Pricing in a Semi-Markov Modulated Market. SIAM Journal on Control and Optimization 48:3, pages 1519-1541.
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