Research
Research focuses on Applied Probability and Stochastic Modelling. Specific areas of interest include Queueing Theory (and its applications to the performance analysis of computer and communication systems), Financial Mathematics, and Inventory Management in Supply
Chains.
Some Recent Publications
- 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]