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Ankush Agarwal

American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics
2015 · Ankush Agarwal, Sandeep Juneja, et al. · Quantitative Finance · 26
Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method
2020 · Ankush Agarwal, Julien Claisse · Stochastic Processes and their Applications · 13
A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps
2020 · Ankush Agarwal, Stefano Pagliarani · Stochastics · 11
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Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
2019 · A. Agarwal, S. De Marco, et al. · ESAIM Proceedings and Surveys · 11
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Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
2018 · Ankush Agarwal, Ronnie Sircar · SIAM Journal on Financial Mathematics · 10
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Hedging longevity risk in defined contribution pension schemes
2023 · Ankush Agarwal, Christian-Oliver Ewald, et al. · Computational Management Science · 9
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Finite variance unbiased estimation of stochastic differential equations
2017 · Ankush Agarwal, Emmanuel Gobet · Winter Simulation Conference · 9
Study of new rare event simulation schemes and their application to extreme scenario generation
2017 · Ankush Agarwal, Stefano De Marco, et al. · Mathematics and Computers in Simulation · 7
Comparing Optimal Convergence Rate of Stochastic Mesh and Least Squares Method for Bermudan Option Pricing
2015 · Ankush Agarwal, Sandeep Juneja · 5
Optimal income drawdown and investment with longevity basis risk
2025 · Ankush Agarwal, Christian Oliver Ewald, et al. · Scandinavian Actuarial Journal · 4
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The implied Sharpe ratio
2020 · Ankush Agarwal, Matthew Lorig · Quantitative Finance · 4
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Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio
2016 · Ankush Agarwal, Ronnie Sircar · SSRN Electronic Journal · 4
Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
2013 · Ankush Agarwal, Santanu Dey, et al. · Journal of Applied Probability · 4
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Hedging Longevity Risk in Defined Contribution Pension Schemes
2019 · Ankush Agarwal, Christian-Oliver Ewald, et al. · SSRN Electronic Journal · 3
Rare event simulation related to financial risks: efficient estimation and sensitivity analysis
2017 · Agarwal, Ankush, de Marco, Stefano, et al. · HAL (Le Centre pour la Communication Scientifique Directe) · 3
Numerical approximation of McKean–Vlasov SDEs via stochastic gradient descent
2026 · Ankush Agarwal, Andrea Amato, et al. · Advances in Applied Probability · 2
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Robust valuation and optimal harvesting of forestry resources in the presence of catastrophe risk and parameter uncertainty
2025 · Ankush Agarwal, Christian Oliver Ewald, et al. · European Journal of Operational Research · 2
On the predictive power of food commodity futures prices in forecasting inflation
2025 · Ankush Agarwal, Christian Oliver Ewald, et al. · Quantitative Finance · 2
Penalized Estimation of Sparse Markov Regime-Switching Vector Auto-Regressive Models
2023 · Gilberto Chavez-Martinez, Ankush Agarwal, et al. · Technometrics · 2
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Sharing of Longevity Basis Risk in Pension Schemes With Income-Drawdown Guarantees
2020 · Ankush Agarwal, Christian Oliver Ewald, et al. · SSRN Electronic Journal · 2
Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options
2014 · Ankush Agarwal, Sandeep Juneja · International Game Theory Review · 2
Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing
2013 · Ankush Agarwal, Sandeep Juneja · Winter Simulation Conference · 2
Hedging Longevity Risk in Defined Contribution Pension Schemes
2021 · Ankush Agarwal, Christian-Oliver Ewald, et al. · SSRN Electronic Journal · 1
Numerical approximation of RBSDEs via regularization
2026 · Agarwal, Ankush, Gobet, Emmanuel, et al. · HAL (Le Centre pour la Communication Scientifique Directe)
Valuation of American options in ambiguous multifactor models
2026 · Ankush Agarwal, Christian Ewald, et al. · Quantitative Finance
Works count: 43
Citation count: 138
H-index: 7
I10-index: 5
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