Chairperson, International Relations, IIMK (2016-18)
Previously Faculty Member at IFMR, Chennai
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]
Nested simulation for estimating portfolio losses within a time horizon, (with S Juneja), Proceedings of the Winter Simulation Conference 2009, IEEE Press, pp 434-443.
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.
ANVILS VOCE: Anova based Varying Inner Loop Size estimation of Variance of Conditional Expectation, (with M S Abdulla), Communications in Statistics -Theory and Methods, 53(12), 4442–4449. [Improving a two stage simulation estimator]
Reducing the Patients-at-Risk (PaR) in a response-adaptive trial: A numerical study (with M S Abdulla). IIMB Review, 35 (4), 418-425. [A new framework for evaluating adaptive clinical trial designs, motivated by Value-at-Risk]
Hedging Dynamic Fund Protection: A Static versus Dynamic Comparison, (with B Ray), IIM Kozhikode Society & Management Review (forthcoming).
A general strategy for reducing the variability in response-adaptive designs, (with M S Abdulla), Communications in Statistics -Theory and Methods (forthcoming). [A strategy for improving the ethics and the safety of clinical trials]
Incorporating inflation in a key planning exercise , Case Studies, 2022
There are no research projects with me as of now for summer/winter interns. I apologize for not being able to respond individually to the queries I receive in this regard.
IIMK Campus P. O, Kozhikode, Kerala, India,
PIN - 673 570
