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Sengupta, Indranil
Positions
Professor
,
Mathematics and Statistics
,
College of Arts, Sciences & Education
isengupt@fiu.edu
https://www.ndsu.edu/pubweb/~isengupt/
https://scholar.google.com/citations?hl=en&user=GEOcnYUAAAAJ
https://www.researchgate.net/profile/Indranil-Sengupta-4
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Overview
Scholarly & Creative Works
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Overview
research interests
Financial Mathematics, Stochastic Processes, Data Science.
Scholarly & Creative Works
selected scholarly works & creative activities
Article
2023
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
Full Text via DOI:
10.1080/07362994.2022.2094960
Web of Science:
000823628500001
2023
Stochastic volatility modeling of high-frequency CSI 300 index and dynamic jump prediction driven by machine learning
Full Text via DOI:
10.3934/era.2023070
Web of Science:
000968076300009
2022
Machine 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
2022
A Novel Implementation of Siamese Type Neural Networks in Predicting Rare Fluctuations in Financial Time Series
Full Text via DOI:
10.3390/risks10020039
Web of Science:
000765051000008
2021
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
Full Text via DOI:
10.1007/s10436-021-00394-4
Web of Science:
000673016600001
2021
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
Full Text via DOI:
10.1142/S2424786321500158
Web of Science:
000754811700006
2021
Stochastic Analysis and Neural Network-Based Yield Prediction with Precision Agriculture
Full Text via DOI:
10.3390/jrfm14090397
Web of Science:
000699497500001
2021
Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learning
Full Text via DOI:
10.1007/s40745-020-00256-2
2021
First Exit-Time Analysis for an Approximate Barndorff-Nielsen and Shephard Model with Stationary Self-Decomposable Variance Process
Full Text via DOI:
10.31390/josa.2.1.05
2021
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model\ast
Full Text via DOI:
10.1137/21M1412281
Web of Science:
000736041000011
2020
Multi-asset generalized variance swaps in Barndorff-Nielsen and Shephard model
Full Text via DOI:
10.1142/S2424786320500516
Web of Science:
000617169600012
2020
Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection
Full Text via DOI:
10.1080/1350486x.2020.1859943
2020
Infinitesimal generators for two-dimensional Levy process-driven hypothesis testing
Full Text via DOI:
10.1007/s10436-019-00355-y
Web of Science:
000497793900001
2019
Barndorff‐Nielsen and Shephard model for hedging energy with quantity risk
Full Text via DOI:
10.1002/hf2.10049
2019
Volatility and Variance Swap Using Superposition of the Barndorff-Nielsen and Shephard type Levy Processes
Full Text via DOI:
10.1007/s13571-017-0145-y
Web of Science:
000495240300005
2019
Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option
Full Text via DOI:
10.1007/s11579-018-0225-4
Web of Science:
000461372800002
2018
Moments of the asset price for the Barndorff-Nielsen and Shephard model
Full Text via DOI:
10.1007/s10986-018-9416-1
Web of Science:
000451691300006
2018
A new analysis of VIX using mixture of regressions: Examination and short‐term forecasting for the S & P 500 market
Full Text via DOI:
10.1002/hf2.10009
2017
Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index
Full Text via DOI:
10.1007/s10436-017-0302-3
Web of Science:
000418440000002
2017
Feynman path integrals and asymptotic expansions for transition probability densities of some Levy driven financial markets
Full Text via DOI:
10.1007/s12190-016-1002-2
Web of Science:
000400777200010
2016
Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
Full Text via DOI:
10.1142/S2424786316500274
Web of Science:
000393205600004
2016
PRICING COVARIANCE SWAPS FOR BARNDORFF-NIELSEN AND SHEPHARD PROCESS DRIVEN FINANCIAL MARKETS
Full Text via DOI:
10.1142/S2010495216500123
Web of Science:
000410981400002
2016
GENERALIZED BN-S STOCHASTIC VOLATILITY MODEL FOR OPTION PRICING
Full Text via DOI:
10.1142/S021902491650014X
Web of Science:
000373286700007
2015
Numerical 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
2015
PIDE and Solution Related to Pricing of Levy Driven Arithmetic Type Floating Asian Options
Full Text via DOI:
10.1080/07362994.2015.1024855
Web of Science:
000356792100003
2014
PRICING ASIAN OPTIONS IN FINANCIAL MARKETS USING MELLIN TRANSFORMS
.
ELECTRONIC JOURNAL OF DIFFERENTIAL EQUATIONS
.
Web of Science:
000350697700002
2014
Option Pricing with Transaction Costs and Stochastic Interest Rate
Full Text via DOI:
10.1080/1350486x.2014.881263
2014
Ornstein-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
2013
Levy 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
2012
Spherical harmonics approach to parabolic partial differential equations
Full Text via DOI:
10.1007/s13324-012-0039-0
Web of Science:
000209055200009
2012
Numerical Solutions for Option Pricing Models Including Transaction Costs and Stochastic Volatility
Full Text via DOI:
10.1007/s10440-012-9685-3
Web of Science:
000301373200012
2012
Solutions to Integro-differential Problems Arising on Pricing Options in a Lévy Market
Full Text via DOI:
10.1007/s10440-012-9687-1
2012
Spherical Harmonics Applied to Differential and Integro-Differential Equations Arising in Mathematical Finance
Full Text via DOI:
10.1007/s12591-012-0107-9
Web of Science:
000217282600001
2012
Spectral 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
2012
Concentration 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
2012
Detecting 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
2012
Nonlinear 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
2012
Solutions 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
2012
Two-Point Boundary Value Problems for a Class of Second-Order Ordinary Differential Equations
Full Text via DOI:
10.1155/2012/794040
2011
Solutions 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
2011
SUPERRADIANCE PROBLEM IN A 3D ANNULAR DOMAIN
.
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS
. 31:1309-1318.
Web of Science:
000209629900135
2011
Spectral 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
2010
Differential 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
2008
Korteweg-de Vries-Burgers Equation with a Higher-order Nonlinearity
Full Text via DOI:
10.1007/s12591-008-0002-6
Web of Science:
000217266500002
2007
Some 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
2006
On 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
Book Chapter
2021
Analysis of Strategic Market Management in Light of Stochastic Processes, Recurrence Relation, Abelian Group and Expectation
. 701-710.
Full Text via DOI:
10.1007/978-981-15-3514-7_53
Conference
2007
Broadband 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
2006
Broadband Tuning Limits on UWB Antennas Based on Fano's Formulation
. 171-174.
Full Text via DOI:
10.1109/aps.2006.1710481
Other Scholarly Work
2016
Analysis of Generic Diversity in the Fossil Record, Earthquake Series, and High‐Frequency Financial Data
. 371-424.
Full Text via DOI:
10.1002/9781118593486.ch12
2016
Scale Invariance and Lévy Models Applied to Earthquakes and Financial High‐Frequency Data
. 341-369.
Full Text via DOI:
10.1002/9781118593486.ch11
2016
Study of Volatility Structures in Geophysics and Finance Using Garch Models
. 295-340.
Full Text via DOI:
10.1002/9781118593486.ch10
Preprint
2023
Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
2023
Some asymptotics for short maturity Asian options
2021
A data-science-driven short-term analysis of Amazon, Apple, Google, and Microsoft stocks
2021
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
2021
Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model
2021
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
2020
First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process
2020
Hedging and machine learning driven crude oil data analysis using a refined Barndorff-Nielsen and Shephard model
2020
Sequential hypothesis testing in machine learning, and crude oil price jump size detection
2019
Refinements of Barndorff-Nielsen and Shephard model: an analysis of crude oil price with machine learning
2019
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
Contact
full name
Indranil
Sengupta
Identifiers
ORCID iD
https://orcid.org/0000-0002-4842-1352
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