| Topological data analysis in investment decisions A Goel, P Pasricha, A Mehra Expert Systems with Applications 147, 113222, 2020 | 45 | 2020 |
| Index tracking and enhanced indexing using mixed conditional value-at-risk A Goel, A Sharma, A Mehra Journal of Computational and Applied Mathematics 335, 361-380, 2018 | 44 | 2018 |
| Pricing vulnerable power exchange options in an intensity based framework P Pasricha, A Goel Journal of Computational and Applied Mathematics 355, 106-115, 2019 | 35 | 2019 |
| Robust optimization of mixed CVaR STARR ratio using copulas A Goel, A Sharma, A Mehra Journal of Computational and Applied Mathematics 347, 62-83, 2019 | 31 | 2019 |
| Pricing power exchange options with hawkes jump diffusion processes. P Pasricha, A Goel Journal of Industrial & Management Optimization 17 (1), 2021 | 19 | 2021 |
| A closed-form pricing formula for European exchange options with stochastic volatility P Pasricha, A Goel Probability in the Engineering and Informational Sciences 36 (3), 606-615, 2022 | 15 | 2022 |
| Analyzing contagion effect in markets during financial crisis using stochastic autoregressive canonical vine model A Goel, A Mehra Computational Economics 53 (3), 921-950, 2019 | 14 | 2019 |
| Deviation measure in second‐order stochastic dominance with an application to enhanced indexing A Goel, A Sharma International Transactions in Operational Research 28 (4), 2218-2247, 2021 | 12 | 2021 |
| Mixed value-at-risk and its numerical investigation A Goel, A Sharma Physica A: Statistical Mechanics and its Applications 541, 123524, 2020 | 9 | 2020 |
| Robust Omega ratio optimization using regular vines A Goel, A Mehra Optimization Letters 15, 2067-2108, 2021 | 8 | 2021 |
| Sparse index tracking via topological learning A Goel, P Pasricha, J Kanniainen arXiv preprint arXiv:2310.09578, 2023 | 2 | 2023 |
| A bivariate Markov modulated intensity model: Applications to insurance and credit risk modelling A Goel, A Mehra Stochastics 93 (4), 555-574, 2021 | 1 | 2021 |
| Topological Identification of Agent Status in Information Contagions: Application to Financial Markets A Goel, H Hansen, J Kanniainen arXiv preprint arXiv:2410.21104, 2024 | | 2024 |
| Time-Series Foundation Model for Value-at-Risk A Goel, P Pasricha, J Kanniainen arXiv preprint arXiv:2410.11773, 2024 | | 2024 |
| Network analysis of aggregated money flows in stock markets J Karaila, K Baltakys, H Hansen, A Goel, J Kanniainen Quantitative Finance 24 (10), 1423-1443, 2024 | | 2024 |
| Sparse Portfolio Selection via Topological Data Analysis based Clustering A Goel, D Filipović, P Pasricha arXiv preprint arXiv:2401.16920, 2024 | | 2024 |
| A closed-form pricing formula for catastrophe equity options P Pasricha, A Goel, SP Zhu Probability in the Engineering and Informational Sciences 36 (4), 1103-1115, 2022 | | 2022 |
| Unfolding structures in financial data using copula and topological data analysis for portfolio optimization A Goel Delhi, 2019 | | 2019 |
Puneet PasrichaAssistant Professor, Indian Institute of Technology RoparVerified email at iitrpr.ac.in
