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Sequential hypothesis testing in machine learning, and crude oil price jump size detection

Roberts, Michael; SenGupta, Indranil - In: Applied mathematical finance 27 (2020) 5, pp. 374-395

Persistent link: https://www.econbiz.de/10012501621

Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets

Habtemicael, Semere; SenGupta, Indranil - In: International journal of financial engineering 3 (2016) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10011673089

Pricing covariance swaps for Barndorff-Nielsen and Shephard process driven financial markets

Habtemicael, Semere; SenGupta, Indranil - In: Annals of financial economics 11 (2016) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011685720

Ornstein–Uhlenbeck processes for geophysical data analysis

Habtemicael, Semere; SenGupta, Indranil - In: Physica A: Statistical Mechanics and its Applications 399 (2014) C, pp. 147-156

In this work a three parameter stochastic process, termed the Gamma-Ornstein–Uhlenbeck process, has been implemented to analyze geophysical data. Such non-Gaussian Ornstein–Uhlenbeck processes offer the possibility of capturing important distributional deviations from Gaussianity and make...

Persistent link: https://www.econbiz.de/10011064662