Research Works

Pricing Asian Option by Binomial Tree and Branching Process

Quantitative Finance, Supervised by Prof. Sourav Majumdar, 2024

Derived formulas for Arithmetic and Geometric Average Asian Options using the Cox-Ross-Rubinstein Method for the n-th time interval.
Computed risk-neutral probabilities for each time step to price Asian Options based on Arithmetic and Geometric means.
Established upper and lower bounds for Asian Option prices in discrete time and extended these results to continuous time.
Investigating optimal paths for stock price averages using branching processes to improve pricing accuracy.
Developing transition probability functions for risk-neutral probabilities, modeling them as a Markov Chain to find the stationary distribution.

Corporate Finance, Supervised by Prof. Harshal Mulay, 2024

Investigated the potential impact of EPU on the choice between the use of Project Finance and General Corporate Finance across 23 countries.
Cleaned and merged data from different sources: deal-level (Dealscan), firm-level, industry-level (Compustat), and country-level variables.
Implemented a multivariate logistic regression model with Project Finance as the dependent variable, including EPU, controls, and fixed effects.
Ensured robustness by checking for and controlling heteroscedasticity, autocorrelation, multicollinearity, and endogeneity in the model.
Banks are more likely to mandate Project Finance during high uncertainty periods, as it reduces their risk and improves borrower cash flow.

Commodity Derivatives, Supervised by Prof. Prabina Rajib, 2023

Determined whether the connectedness between edible oil commodities acts as a hedge against economic policy uncertainties.
Examined the interconnectivity between edible oil markets through TVP-VAR using the Kalman Filter estimator.
Calculated Dynamic Total Connectedness, Net Directional Connectedness & Net-Pairwise Directional Connectedness.
The TCI shows a moderate level of connectedness with a value of 45.62%, with Soybean being the most dominant commodity and Rapeseed meal the least.

Neuroscience, Supervised by Prof. A. Ramakrishnan, 2023

Measured maladaptive avoidance behaviour and its impact on decision-making in situations with competing rewards and threats.
Conducted an anxiety disorder study on 30 participants using a 2D paradigm built on PsychoPy and skin conductance.
Analysed behaviour in anxiety, attentional biases, and amygdala hyper-responsivity and decision-making in mental illness.
Summarized anxiety’s impact on avoidance behaviour in reward-threat conflicts, and neural mechanisms in anxiety disorders.

Mechanism Design, Supervised by Prof. Thirumulanathan, 2022

Reviewed papers identifying potential to expand optimal mechanism design to selling multiple items with uniformly distributed buyer valuations.
Established foundation in optimal mechanism design for uniform distributions, laying groundwork for research on extending the model.
Project aims to contribute to mechanism design theory by exploring optimal mechanisms for selling multiple items with uniform valuations.