Puneet Pasricha

Publication Activity (10 Years)

Years Active: 2019-2024
Publications (10 Years): 9

Top Topics

Gaussian Process Regression

Diffusion Process

Convertible Bonds

Financial Markets

Top Venues

J. Comput. Appl. Math.

Expert Syst. Appl.

Publications

Anubha Goel, Damir Filipovic, Puneet Pasricha
Sparse Portfolio Selection via Topological Data Analysis based Clustering. CoRR (2024)
Puneet Pasricha, Xin-Jiang He
Exchange options with stochastic liquidity risk. Expert Syst. Appl. 223 (2023)
Anubha Goel, Puneet Pasricha, Juho Kanniainen
Sparse Index Tracking via Topological Learning. CoRR (2023)
Puneet Pasricha, Song-Ping Zhu, Xin-Jiang He
A closed-form pricing formula for European options with market liquidity risk. Expert Syst. Appl. 189 (2022)
Damir Filipovic, Puneet Pasricha
Empirical Asset Pricing via Ensemble Gaussian Process Regression. CoRR (2022)
Puneet Pasricha, Xiaoping Lu, Song-Ping Zhu
A note on the calculation of default probabilities in "Structural credit risk modeling with Hawkes jump-diffusion processes". J. Comput. Appl. Math. 381 (2021)
Nitu Sharma, Puneet Pasricha, Selvamuthu Dharmaraja
Valuation of equity-indexed annuities under correlated jump-diffusion processes. J. Comput. Appl. Math. 395 (2021)
Anubha Goel, Puneet Pasricha, Aparna Mehra
Topological data analysis in investment decisions. Expert Syst. Appl. 147 (2020)
Puneet Pasricha, Anubha Goel
Pricing vulnerable power exchange options in an intensity based framework. J. Comput. Appl. Math. 355 (2019)