Dr Amogh Deshpande

Research Overview

I). Mathematics Education: I research topics that link mathematics education with computers.
II). Applied probability: I apply tools from probability and stochastic analysis to model phenomena arising in finance and insurance.

Selected Publications

[1] Deshpande, Amogh. "Financial computing literacy : 10 steps". In: MSOR Connections. 2017 ; Vol. 16, No. 1. pp. 45-52. https://doi.org/10.21100/msor.v16i1.504

[2] Deshpande, Amogh. "On the role of Föllmer-Schweizer minimal martingale measure in risk-sensitive control asset management". In: Journal of Applied Probability. 2015 ; Vol. 52, No. 3. pp. 703-717. https://doi.org/10.1017/s0021900200113385

[3] Deshpande, Amogh. "Comparing the Value at Risk Performance of the CreditRisk + and its Enhancement: A Large Deviations Approach". In: Methodology and Computing in Applied Probability. 2014 ; Vol. 16, No. 4. pp. 1009-1023. https://doi.org/10.1007/s11009-013-9345-8

[4] Deshpande, Amogh. "Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization". In: Stochastic Analysis and Applications. 2014 ; Vol. 32, No. 6. pp. 911-933. https://doi.org/10.1080/07362994.2014.945038

[5] Deshpande, Amogh. "A Simple Novel Approach to Valuing Risky Zero Coupon Bond in a Markov Regime Switching Economy". In: Methodology and Computing in Applied Probability. 2011 ; Vol. 13, No. 4. pp. 783-800. https://doi.org/10.1007/s11009-010-9190-y