Mentor Institution:

Saswat Patra

Assistant Professor

I have completed my doctorate from the Indian Institute of Management-Bangalore. Prior to my doctorate, I pursued my Masters (PGDM) from IMT-Ghaziabad with specialization in Finance. I have a bachelor’s degree (BTech.) in Computer Science and Engineering.

My research Interests are in the area of Quantitative Finance, Risk Management, Financial Econometrics and Financial Derivatives. My thesis aims at exploring ways to improve the estimation of risk with application to stocks and options. It deals with theoretical work like finding the first passage probabilities for a Pearson Diffusion Process as well as empirical work on estimating the risk for options.

I have presented my work in several reputed international as well as domestic conferences including IFABS, MFS, ICFMCF, IFC, CERE (adjudged best paper award) etc. I am also a member of Professional bodies like The Society for Financial Econometrics and the American Risk and Insurance Association.

Working Papers

  1. The impact of Volume on Volatility and Value-at-Risk: Evidence from major stock exchanges around the world
  2. First Passage Time Probabilities of Pearson Diffusion Process with Application to Options
  3. A novel non-linear Value-at-Risk method for Options: The use of Pearson’s Type IV distribution
  4. Interim Risk Exposure for Options: A comparison with the underlying stock