Research

Research focuses broadly on Applied Probability and Stochastic Modelling. Specific areas of interest include Queueing Theory (and its applications to the performance analysis) and Financial Mathematics (including portfolio theory and volatility modelling through time series and data analytic techniques).

Some Recent Publications

Forecasting financial volatility: A hybrid approach integrating ICEEMDAN and asymmetric volatility models. The Journal of Financial Data Science, (To appear) 2025 (with Koushik Bera and Prakash Raj).
A Heteroscedastic Neural Network Framework for Volatility Prediction. Optimization and Artificial Intelligent Strategies for Engineering and Management, P.P. Mishra and D. Sarkar (eds), BS Publications, 60-67, 2025 (with Koushik Bera, Aryan Bhambu and Prakash Raj). [Link to the article]
Diffusion approximation of an infinite-server queue under Markovian environment with rapid switching. Statistics and Probability Letters, 195, 109778, 2023 (with Ankita Sen). [Link to the article]
A contagion process with self-exciting jumps in credit risk applications. Stochastics, 95(1), 79-98, 2023 (with Puneet Pasricha and S. Dharmaraja). [Link to the article]
Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk. Applied Stochastic Models in Business and Industry, 38(6), 1019-1038, 2022 (with Nitu Sharma and S. Dharmaraja). [Link to the article]
Convexity, two-fund separation and asset ranking in a mean-LPM portfolio selection framework. OR Spectrum, 44, 225-248, 2022 (with Dipankar Mondal). [Link to the article]
Upside beta ratio: A performance measure for potential-seeking investors. International Journal of Theoretical and Applied Finance, 23(2), 2050014, 2020 (with Dipankar Mondal). [Link to the article]
A note on a mean-lower partial moment CAPM without risk-free asset. Operations Research Letters, 47(4), 264-269, 2019 (with Dipankar Mondal). [Link to the article]
Asset pricing through capital market curve. Logistics, Supply Chain and Financial Predictive Analytics, K.Deep et al. (eds), Springer, 233-242, 2019 (with Dipankar Mondal). [Link to the article]
Phase-type arrivals and impatient customers in multiserver queue with multiple working vacations. Advances in Operations Research, 2016, 4024950:1-4024950:17, 2016 (with Cosmika Goswami). [Link to the article]