Pijush Gope

Independent

SCHOLARLY PAPERS

5

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1,038

SSRN CITATIONS

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CROSSREF CITATIONS

2

Ideas:
“  Predictive power contained in rough path properties of asset prices in the context of regime switching, and detection of bubbles and turning points  ”

Scholarly Papers (5)

1.

Arbitrage-free Asset Class Independent Volatility Surface Interpolation on Probability Space using Normed Call Prices

Number of pages: 27 Posted: 25 Nov 2011 Last Revised: 18 Oct 2013
Pijush Gope and Christian P. Fries
Independent and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 884 (30,447)
Citation 2

Abstract:

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NCP, Volatility Surface, Volatility Smile, Probability Space, Arbitrage Free Interpolation

2.

Standardization of Call Prices and No-Arbitrage Properties with Extension to Negative Forwards Post Financial Crisis

Number of pages: 5 Posted: 19 Oct 2013 Last Revised: 18 Jun 2018
Pijush Gope and Christian P. Fries
Independent and Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 78 (353,280)

Abstract:

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NCP, normed call prices, arbitrage free pricing, negative forwards, multi curve

3.

A Lazy, Eclectic Derivation of the Black Scholes Formula

Number of pages: 5 Posted: 17 Jul 2015 Last Revised: 18 Jun 2018
Pijush Gope
Independent
Downloads 76 (358,610)

Abstract:

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Measure Change, Martingale, Girsanov's Theorem, FX Options, Drift in Spot Measure

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Convex Optimization, Convex Analysis, Portfolio, Interior Point, Constrained Program Solver, QP, Quadratic Program Solver

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Locality, Interpolation, Probability, Local Volatility, Monte Carlo Errors