Milan Kumar Das

201720182019202020212022202320241 4 9 5 6 8 6

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Anindya GoswamiAssociate Professor of Mathematics, IISER PuneVerified email at iiserpune.ac.in
Henghsiu TsaiResearch Fellow of Institute of Statistical Science, Academia SinicaVerified email at stat.sinica.edu.tw
Ioannis KyriakouProfessor of Actuarial Finance, Bayes Business School (formerly Cass), City, University of LondonVerified email at city.ac.uk

Milan Kumar Das

Assistant Professor of Mathematics and Statistics - Dr. Vishwanath Karad MIT World Peace University

Verified email at mitwpu.edu.in


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Risk sensitive portfolio optimization in a jump diffusion model with regimes MK Das, A Goswami, N Rana SIAM Journal on Control and Optimization 56 (2), 1550-1576, 2018	19	2018
Pricing derivatives in a regime switching market with time inhomogenous volatility MK Das, A Goswami, TS Patankar Stochastic Analysis and Applications 36 (4), 700-725, 2018	13	2018
Inference of Binary Regime Models with Jump Discontinuities MK Das, A Goswami, S Rajani arXiv preprint arXiv:1910.10606, 2019	3	2019
Testing of binary regime switching models using squeeze duration analysis MK Das, A Goswami International Journal of Financial Engineering 6 (01), 1950006, 2019	3	2019
On Matrix Exponential Differentiation with Application to Weighted Sum Distributions MK Das, H Tsai, I Kyriakou, G Fusai Operations Research 70 (4), 1984-1995, 2022	1	2022
Portfolio Optimization & Option Pricing in a Component-wise Semi-Markov Modulated Market MK Das Dept. of Mathematics, 2018		2018

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