Browsing by Author "Parikh, J. C."
Now showing items 1-8 of 8
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Application of extreme value theory (EVT) to the measurement of risk and asset allocation
Sharma, Mrinal; P., Phanindra (Indian Institute of Management Ahmedabad, 2005)This paper is an attempt to understand the application of Extreme value theory to risk management. We attempt to model extreme stock market returns (the NIFTY stock index in particular) as a Generalized Pareto Distribution. ... -
Application of Merton and inverse Merton models for cross validation of equity and debt security prices in India
Ghosh, Arup K.; Bharti, K. Ajitabh (Indian Institute of Management Ahmedabad, 2003) -
Empirical study of currency option pricing models
Bansal, Amit; Goyal, Amit (Indian Institute of Management Ahmedabad, 2001) -
Fat tails and asset returns
Vaidya, Jasraj; Kapoor, Mohit (Indian Institute of Management Ahmedabad, 2005) -
Option pricing and probability distribution of equity index returns: an analysis using high-frequency index data
Sen, Avishek; Sankaran, Srikanth (Indian Institute of Management Ahmedabad, 2003) -
Study of asset-backed securitization (ABS) and its applications in the Indian context
Rajan, Abhishek (Indian Institute of Management Ahmedabad, 2004) -
Term structure of interest rates : models for the Indian debt market
Thakkar, Kunal; Satapathy, Ananta N. (Indian Institute of Management Ahmedabad, 2002) -
Value at risk approach to risk management
Verma, Nishant; Thakka, Kunal; Kamath, Shridhar L. (Indian Institute of Management Ahmedabad, 2001)