Santanu Dey

Tata Institute of Fundamental Research (TIFR)

STCS, TIFR, 1, Homi Bhabha Road

Colaba

Mumbai, 400005

India

SCHOLARLY PAPERS

1

DOWNLOADS

120

CITATIONS

2

Scholarly Papers (1)

1.

Entropy Approach to Incorporate Fat Tailed Constraints in Financial Models

Number of pages: 36 Posted: 26 Jul 2010
Santanu Dey and Sandeep Juneja
Tata Institute of Fundamental Research (TIFR) and Tata Institute of Fundamental Research (TIFR)
Downloads 95 (194,201)
Citation 2

Abstract:

Entropy, Tsallis Entropy, Fat Tail, Option pricing, Calibration, Portfolio Theory