Concepedia

Thangaraj Draviam

TD

5

Publications

192

Citations

5

H-Index

2000

Active since

Affiliations

University of Waterloo(Current)

Thangaraj Draviam is an author at University of Waterloo specializing in business, asset pricing, and portfolio selection.

Top concepts

BusinessAsset PricingFinanceManagementPortfolio SelectionPortfolio OptimizationMathematical ProgrammingOption PricingFinancial EconomicsPortfolio Management

Publications per year

2000–2006

5

Publications

5

Pricing exotic options under regime switching

Phelim Boyle, Thangaraj Draviam · Insurance Mathematics and Economics · 2006 · 133 citations

Option Pricing, Asset Pricing, Derivative Pricing +3

Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory

Thamayanthi Chellathurai, Thangaraj Draviam · Journal of Economic Dynamics and Control · 2006 · 26 citations

Mathematical Programming, Portfolio Optimization, Asset Pricing +10

Volatility estimation from observed option prices

Phelim P. Boyle, Thangaraj Draviam · Decisions in Economics and Finance · 2000 · 13 citations

Volatility Modeling, Option Pricing, Multivariate Stochastic Volatility +7

Dynamic portfolio selection with nonlinear transaction costs

Thamayanthi Chellathurai, Thangaraj Draviam · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2005 · 10 citations

Mathematical Programming, Portfolio Choice, Nonlinear Transaction Costs +20

Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems

Thangaraj Draviam, Thamayanthi Chellathurai · Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences · 2002 · 10 citations

Mathematical Programming, Asset Allocation, Portfolio Management +17

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