Indranil SenGupta, Ph.D.

Affiliation

Hunter College (Profile)

Research Interests

Stochastic modeling and data science driven analysis of financial and environmental time series. Specific research interests in mathematical finance: option pricing, financial modeling with jump processes, Barndorff-Nielsen and Shephard model, Lévy Processes, stochastic volatility modeling, and portfolio optimizations, etc. Specific research interests in data science: recent interest includes various applications of machine learning, deep learning, and neural network in the context of finance and environmental data analysis. Specific research interests in environmental finance analysis: weather derivatives, catastrophe bond, green bonds, etc.

Job History