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L RAMPRASATH
Associate Professor
Finance, Accounting and Control

+91 - 495 - 2809248
  lrprasath@iimk.ac.in


Ph.D. Rutgers University, USA

M.Stat. Indian Statistical Institute, Kolkata

B.Stat (Hons) Indian Statistical Institute, Kolkata
Academic Positions
Faculty Member, IFMR, Chennai (till Dec 2013)
 


Significant Publications
Statistical Options: crash resistant financial contracts based on robust estimation, (with Kesar Singh), Statistics and Probability Letters, 77, pp. 196-203. [A rich class of "robust" option contracts unexplored so far]

Locally maximin test for the mixture proportion with type-I censoring, (with T.M.Durairajan), Communications in Statistics -Theory and Methods 39(12), pp. 2264-2270. [What is a good test for testing the mixing proportion in a mixture model based on type-I censored data ? Are the tests unbiased ? ]

Simpler Proofs in Finance and Shout Options, Applied Economics Letters 18(2), pp. 173-178. [Early shouting is sometimes optimal for Shout call options]

Some observations in testing for nonstandard mixtures (with T.M.Durairajan). Journal of Statistical Planning and Inference, 142, pp. 2985 - 2992. [In the context of lifetime data, are the current procedures that test for early and instantaneous failures, optimal?]

Estimating functions and equivariance for diffusion models (with T.M.Durairajan). Journal of the Indian Statistical Association 54, pp.95-112. [A simple sanity check for estimators from diffusion models that guarantees consistency with Ito's Lemma] Click to download

Role of stylized features in constructing better estimators, Communications in Statistics -Theory and Methods 46 (15), pp. 7612-7620. [Answers the following: Is there a dichotomy between capturing stylized features and estimation accuracy? ]

 


 

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