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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
 


Other Professional Appointments
Chairperson, International Relations, IIMK
 


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] 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? ]

A simpler algorithm to price American Lookback options in a discrete stochastic volatility model, IIMK Working Paper, IIMK/WPS/294/FIN/2018/38.

 


 

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