Santanu Dey

Tata Institute of Fundamental Research (TIFR)

STCS, TIFR, 1, Homi Bhabha Road

Colaba

Mumbai, 400005

India

SCHOLARLY PAPERS

1

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Scholarly Papers (1)

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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 143 (199,822)

Abstract:

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