Overview
research interests
- Financial Mathematics, Stochastic Processes, Data Science.
Scholarly & Creative Works
selected scholarly works & creative activities
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Article
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2023Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parametersFull Text via DOI: 10.1080/07362994.2022.2094960 Web of Science: 000823628500001
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2023Stochastic volatility modeling of high-frequency CSI 300 index and dynamic jump prediction driven by machine learningFull Text via DOI: 10.3934/era.2023070 Web of Science: 000968076300009
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2022Machine learning and neural network based model predictions of soybean export shares from US Gulf to China. STATISTICAL ANALYSIS AND DATA MINING. 15:707-721.Full Text via DOI: 10.1002/sam.11595 Web of Science: 000850494700001
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2022A Novel Implementation of Siamese Type Neural Networks in Predicting Rare Fluctuations in Financial Time SeriesFull Text via DOI: 10.3390/risks10020039 Web of Science: 000765051000008
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2021Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedgingFull Text via DOI: 10.1007/s10436-021-00394-4 Web of Science: 000673016600001
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2021Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard modelFull Text via DOI: 10.1142/S2424786321500158 Web of Science: 000754811700006
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2021Stochastic Analysis and Neural Network-Based Yield Prediction with Precision AgricultureFull Text via DOI: 10.3390/jrfm14090397 Web of Science: 000699497500001
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2021Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model\astFull Text via DOI: 10.1137/21M1412281 Web of Science: 000736041000011
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2020Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard modelFull Text via DOI: 10.1142/S2424786320500516 Web of Science: 000617169600012
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2020Infinitesimal generators for two-dimensional Levy process-driven hypothesis testingFull Text via DOI: 10.1007/s10436-019-00355-y Web of Science: 000497793900001
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2019Barndorff‐Nielsen and Shephard model for hedging energy with quantity riskFull Text via DOI: 10.1002/hf2.10049
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2019Volatility and Variance Swap Using Superposition of the Barndorff-Nielsen and Shephard type Levy ProcessesFull Text via DOI: 10.1007/s13571-017-0145-y Web of Science: 000495240300005
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2019Barndorff-Nielsen and Shephard model: oil hedging with variance swap and optionFull Text via DOI: 10.1007/s11579-018-0225-4 Web of Science: 000461372800002
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2018Moments of the asset price for the Barndorff-Nielsen and Shephard modelFull Text via DOI: 10.1007/s10986-018-9416-1 Web of Science: 000451691300006
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2017Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price indexFull Text via DOI: 10.1007/s10436-017-0302-3 Web of Science: 000418440000002
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2017Feynman path integrals and asymptotic expansions for transition probability densities of some Levy driven financial marketsFull Text via DOI: 10.1007/s12190-016-1002-2 Web of Science: 000400777200010
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2016Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial marketsFull Text via DOI: 10.1142/S2424786316500274 Web of Science: 000393205600004
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2016PRICING COVARIANCE SWAPS FOR BARNDORFF-NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETSFull Text via DOI: 10.1142/S2010495216500123 Web of Science: 000410981400002
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2016GENERALIZED BN-S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICINGFull Text via DOI: 10.1142/S021902491650014X Web of Science: 000373286700007
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2015Numerical methods applied to option pricing models with transaction costs and stochastic volatility. QUANTITATIVE FINANCE. 15:1417-1424.Full Text via DOI: 10.1080/14697688.2015.1032548 Web of Science: 000357669800002
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2015PIDE and Solution Related to Pricing of Levy Driven Arithmetic Type Floating Asian OptionsFull Text via DOI: 10.1080/07362994.2015.1024855 Web of Science: 000356792100003
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2014PRICING ASIAN OPTIONS IN FINANCIAL MARKETS USING MELLIN TRANSFORMS. ELECTRONIC JOURNAL OF DIFFERENTIAL EQUATIONS.Web of Science: 000350697700002
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2014Option Pricing with Transaction Costs and Stochastic Interest RateFull Text via DOI: 10.1080/1350486x.2014.881263
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2014Ornstein-Uhlenbeck processes for geophysical data analysis. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 399:147-156.Full Text via DOI: 10.1016/j.physa.2013.12.050 Web of Science: 000331501300016
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2013Levy models and scale invariance properties applied to Geophysics. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 392:824-839.Full Text via DOI: 10.1016/j.physa.2012.11.007 Web of Science: 000314738700028
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2012Spherical harmonics approach to parabolic partial differential equationsFull Text via DOI: 10.1007/s13324-012-0039-0 Web of Science: 000209055200009
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2012Numerical Solutions for Option Pricing Models Including Transaction Costs and Stochastic VolatilityFull Text via DOI: 10.1007/s10440-012-9685-3 Web of Science: 000301373200012
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2012Spherical Harmonics Applied to Differential and Integro-Differential Equations Arising in Mathematical FinanceFull Text via DOI: 10.1007/s12591-012-0107-9 Web of Science: 000217282600001
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2012Spectral analysis and generation of certain highly oscillatory curves related to chaos. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS. 391:1453-1468.Full Text via DOI: 10.1016/j.physa.2011.11.013 Web of Science: 000300459700051
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2012Concentration Problems for Bandpass Filters in Communication Theory over Disjoint Frequency Intervals and Numerical Solutions. JOURNAL OF FOURIER ANALYSIS AND APPLICATIONS. 18:182-210.Full Text via DOI: 10.1007/s00041-011-9197-y Web of Science: 000299525200009
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2012Detecting market crashes by analysing long-memory effects using high-frequency data. QUANTITATIVE FINANCE. 12:623-634.Full Text via DOI: 10.1080/14697688.2012.664937 Web of Science: 000303614700012
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2012Nonlinear problems modeling stochastic volatility and transaction costs. QUANTITATIVE FINANCE. 12:663-670.Full Text via DOI: 10.1080/14697688.2012.664944 Web of Science: 000303614700015
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2012Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Levy market. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. 385:36-48.Full Text via DOI: 10.1016/j.jmaa.2011.06.029 Web of Science: 000294979100005
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2011Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market. NONLINEAR ANALYSIS-REAL WORLD APPLICATIONS. 12:3103-3113.Full Text via DOI: 10.1016/j.nonrwa.2011.05.010 Web of Science: 000295232900015
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2011SUPERRADIANCE PROBLEM IN A 3D ANNULAR DOMAIN. DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS. 31:1309-1318.Web of Science: 000209629900135
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2011Spectral analysis for a three-dimensional superradiance problem. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. 375:762-776.Full Text via DOI: 10.1016/j.jmaa.2010.10.003 Web of Science: 000284343200035
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2010Differential operator related to the generalized superradiance integral equation. JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. 369:101-111.Full Text via DOI: 10.1016/j.jmaa.2010.02.034 Web of Science: 000277762200012
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2008Korteweg-de Vries-Burgers Equation with a Higher-order NonlinearityFull Text via DOI: 10.1007/s12591-008-0002-6 Web of Science: 000217266500002
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2007Some properties of the Mittag-Leffler functions. INTEGRAL TRANSFORMS AND SPECIAL FUNCTIONS. 18:329-336.Full Text via DOI: 10.1080/10652460601090216 Web of Science: 000246358700004
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2006On a new simple method for evaluation of certain multiple definite integrals. INTERNATIONAL JOURNAL OF MATHEMATICAL EDUCATION IN SCIENCE AND TECHNOLOGY. 37:624-628.Full Text via DOI: 10.1080/00207390600681775 Web of Science: 000213192700014
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Book Chapter
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Conference
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2007Broadband tuning limits on UWB antennas based on Fano's formulation. 83-+.Full Text via DOI: 10.1007/978-0-387-73046-2_12 Web of Science: 000250827300012
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2006Broadband Tuning Limits on UWB Antennas Based on Fano's Formulation. 171-174.Full Text via DOI: 10.1109/aps.2006.1710481
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Other Scholarly Work
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2016Analysis of Generic Diversity in the Fossil Record, Earthquake Series, and High‐Frequency Financial Data. 371-424.Full Text via DOI: 10.1002/9781118593486.ch12
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2016Scale Invariance and Lévy Models Applied to Earthquakes and Financial High‐Frequency Data. 341-369.Full Text via DOI: 10.1002/9781118593486.ch11
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2016Study of Volatility Structures in Geophysics and Finance Using Garch Models. 295-340.Full Text via DOI: 10.1002/9781118593486.ch10
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Preprint
Contact
full name
- Indranil Sengupta
Identifiers
ORCID iD
- https://orcid.org/0000-0002-4842-1352 (confirmed)
