Research Statement:

My research interests mainly include stochastic  analysis, market microstructure and partial differential equations. I am currently working on the Kyle Back model of Insider Trading problems. Our main aim is to try and develop the Kyle-Back equilibrium models under very general assumptions. The novel approach is to present the pricing rule of the market maker at maturity as an optimal transport map. The main focus  in our model is to consider an insider who is risk averse and market makers who have general non-Gaussian beliefs.

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Advisor: Dr. Ibrahim Ekren

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Publications:

• S. Bose and I. Ekren, Multidimensional Kyle-Back model with a risk averse informed trader, submitted to SIAM Journal on Financial Mathematics (2021).

• S. Bose and I. Ekren, Kyle-Back Models with risk aversion and non-Gaussian beliefs, submitted to to
  Annals of Applied Probability (2020).

• K. Kotha and S. Bose, Hedging Effectiveness of cross-listed NIFTY index futures (2019), Global Economy Journal, vol. 19, issue 02.

• K. Kotha and S. Bose, Dynamic Linkages between Singapore and NSE listed NIFTY Futures and NIFTY Spot Markets (2016), The Journal of Prediction Markets, Vol. 10 No. 2.