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Anubha Goel

About Anubha Goel

Anubha Goel, With an exceptional h-index of 7 and a recent h-index of 7 (since 2020), a distinguished researcher at Indian Institute of Technology Delhi, specializes in the field of Copula Theory, Portfolio optimization, Topological Data Analysis.

His recent articles reflect a diverse array of research interests and contributions to the field:

Sparse Portfolio Selection via Topological Data Analysis based Clustering

Sparse index tracking via topological learning

A closed-form pricing formula for catastrophe equity options

A closed-form pricing formula for European exchange options with stochastic volatility

Robust Omega ratio optimization using regular vines

Deviation measure in second‐order stochastic dominance with an application to enhanced indexing

A bivariate Markov modulated intensity model: Applications to insurance and credit risk modelling

Pricing power exchange options with hawkes jump diffusion processes.

Anubha Goel Information

University

Position

Research Scholar

Citations(all)

174

Citations(since 2020)

170

Cited By

54

hIndex(all)

7

hIndex(since 2020)

7

i10Index(all)

7

i10Index(since 2020)

7

Email

University Profile Page

Google Scholar

Anubha Goel Skills & Research Interests

Copula Theory

Portfolio optimization

Topological Data Analysis

Top articles of Anubha Goel

Sparse Portfolio Selection via Topological Data Analysis based Clustering

arXiv preprint arXiv:2401.16920

2024/1/30

Anubha Goel
Anubha Goel

H-Index: 5

Puneet Pasricha
Puneet Pasricha

H-Index: 3

Sparse index tracking via topological learning

arXiv preprint arXiv:2310.09578

2023/10/14

Anubha Goel
Anubha Goel

H-Index: 5

Puneet Pasricha
Puneet Pasricha

H-Index: 3

A closed-form pricing formula for catastrophe equity options

Probability in the Engineering and Informational Sciences

2022/10

Puneet Pasricha
Puneet Pasricha

H-Index: 3

Anubha Goel
Anubha Goel

H-Index: 5

Song-Ping Zhu
Song-Ping Zhu

H-Index: 18

A closed-form pricing formula for European exchange options with stochastic volatility

Probability in the Engineering and Informational Sciences

2022/7

Puneet Pasricha
Puneet Pasricha

H-Index: 3

Anubha Goel
Anubha Goel

H-Index: 5

Robust Omega ratio optimization using regular vines

Optimization Letters

2021/9

Anubha Goel
Anubha Goel

H-Index: 5

Deviation measure in second‐order stochastic dominance with an application to enhanced indexing

International Transactions in Operational Research

2021/7

Anubha Goel
Anubha Goel

H-Index: 5

A bivariate Markov modulated intensity model: Applications to insurance and credit risk modelling

Stochastics

2021/5/19

Anubha Goel
Anubha Goel

H-Index: 5

Pricing power exchange options with hawkes jump diffusion processes.

Journal of Industrial & Management Optimization

2021/1/1

Puneet Pasricha
Puneet Pasricha

H-Index: 3

Anubha Goel
Anubha Goel

H-Index: 5

Topological data analysis in investment decisions

Expert Systems with Applications

2020/6/1

Anubha Goel
Anubha Goel

H-Index: 5

Puneet Pasricha
Puneet Pasricha

H-Index: 3

Mixed value-at-risk and its numerical investigation

Physica A: Statistical Mechanics and its Applications

2020/3/1

Anubha Goel
Anubha Goel

H-Index: 5

See List of Professors in Anubha Goel University(Indian Institute of Technology Delhi)