| Option pricing under non-normality: a comparative analysis S Mozumder, G Sorwar, K Dowd Review of Quantitative Finance and Accounting 40, 273-292, 2013 | 16 | 2013 |
| Revisiting variance gamma pricing: An application to s&p500 index options S Mozumder, G Sorwar, K Dowd International Journal of Financial Engineering 2 (02), 1550022, 2015 | 11 | 2015 |
| Pricing and hedging options with GARCH-stable proxy volatilities S Mozumder, MH Kabir, M Dempsey Applied Economics 50 (56), 6034-6046, 2018 | 4 | 2018 |
| Option pricing model biases: Bayesian and Markov chain Monte Carlo regression analysis S Mozumder, T Choudhry, M Dempsey Computational Economics 57, 1287-1305, 2021 | 2 | 2021 |
| Risk management under time varying volatility and Pareto-stable distributions S Mozumder, MH Kabir, M Dempsey, T Choudhry Applied Economics Letters 27 (3), 161-167, 2020 | 2 | 2020 |
| Back-testing extreme value and Lévy value-at-risk models: evidence from international futures markets S Mozumder, M Dempsey, MH Kabir The Journal of Risk Finance 18 (1), 88-118, 2017 | 2 | 2017 |
| An improved framework for approximating option prices with application to option portfolio hedging S Mozumder, M Dempsey, MH Kabir, T Choudhry Economic Modelling 59, 285-296, 2016 | 2 | 2016 |
| Numerical schemes and Monte Carlo method for black and Scholes partial differential equation: a comparative note S Mozumder, ABMS Hossain, S Tasnim, A Rahman Univ J Comput Math 3 (4), 50-55, 2015 | 2 | 2015 |
| Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing S Mozumder, B Talukdar, MH Kabir, B Li Review of Quantitative Finance and Accounting 62 (1), 97-133, 2024 | 1 | 2024 |
| Spectral measures of risk for international futures markets: A comparison of extreme value and Lévy models S Mozumder, T Choudhry, M Dempsey Global Finance Journal 37, 248-261, 2018 | 1 | 2018 |
| Market Risk Of Investment In Us Subprime Crisis: Comparison Of A Pure Diffusion And A Pure Jump Model S Mozumder, A Rahman Annals of Financial Economics 11 (03), 1650013, 2016 | 1 | 2016 |
| A note on the relation between the lévy measure and the jump function of a lévy process J GARRIDO, S MOZUMDER Annales Mathématiques du Québec 32 (1), 29-34, 2008 | 1 | 2008 |
| An evaluation of the adequacy of Lévy and extreme value tail risk estimates S Mozumder, MK Hassan, MH Kabir Financial Innovation 10 (1), 100, 2024 | | 2024 |
| On practitioners closed-form GARCH option pricing S Mozumder, B Frijns, B Talukdar, MH Kabir International Review of Financial Analysis, 103296, 2024 | | 2024 |
| Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator S Mozumder, MK Hassan, G Sorwar, JA Pérez Amuedo Communications in Statistics-Theory and Methods, 1-26, 2024 | | 2024 |
| Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study S Mozumder, MZ Abedin, R Lalon, A Hossain Computational Economics, 1-38, 2024 | | 2024 |
| Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets S Mozumder, MH Kabir, M Dempsey Investment management and financial innovations, 361-380, 2017 | | 2017 |
| Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models G Sorwar, S Mozumder Applied Mathematics 1 (01), 37-43, 2010 | | 2010 |
| International Journal of Sciences & Applied Research BN Joshi, JM Koli, ST Sharangdher | | |
| ON DETERMINANTS AND SENSITIVITIES OF OPTION PRICES IN DELAYED BLACK-SCHOLES MODEL ABMS Hossain, S Mozumder | | |
