Sandeep Juneja

Tata Institute of Fundamental Research (TIFR)

School of Technology and Computer Science

SCHOLARLY PAPERS

4

DOWNLOADS

563

CITATIONS
Rank 24,093

SSRN RANKINGS

Top 24,093

in Total Papers Citations

11

Scholarly Papers (4)

1.

Portfolio Credit Risk with Extremal Dependence

Number of pages: 31 Posted: 15 Jul 2005
Achal Bassamboo, Sandeep Juneja and Assaf Zeevi
Northwestern University - Department of Managerial Economics and Decision Sciences (MEDS), Tata Institute of Fundamental Research (TIFR) and Columbia Business School - Decision Risk and Operations
Downloads 239 (99,934)
Citation 2

Abstract:

Portfolio, credit, asymptotics, simulation, importance sampling, rare events, risk management

2.

Nested Simulation in Portfolio Risk Measurement

Management Science, Vol. 56, No. 10, October 2010, FEDS Working Paper No. 2008-21
Number of pages: 33 Posted: 29 Jan 2011
Michael B. Gordy and Sandeep Juneja
Board of Governors of the Federal Reserve and Tata Institute of Fundamental Research (TIFR)
Downloads 120 (162,942)
Citation 7

Abstract:

nested simulation, loss distribution, value-at-risk, expected shortfall, jackknife estimator, dynamic allocation

3.

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 (195,176)
Citation 2

Abstract:

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

4.

American Options Under Stochastic Volatility: Control Variates, Maturity Randomization & Multiscale Asymptotics

Number of pages: 26 Posted: 09 Nov 2014 Last Revised: 13 Apr 2015
Ankush Agarwal, Sandeep Juneja and Ronnie Sircar
CMAP, École Polytechnique and CNRS, Université Paris-Saclay, Tata Institute of Fundamental Research (TIFR) and Princeton University - Department of Operations Research and Financial Engineering
Downloads 33 (319,231)

Abstract:

Stochastic volatility, American option, maturity randomization, singular perturbation theory, regular perturbation theory, Monte Carlo, control variate