Statistical Methods in Finance 2025

Financial Modeling, Risk, and Resilience in a Changing World


	
December 16 to 20, 2025

	
	 
	

  
	
 






	

		

		

		  

        
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Program Schedule





  
    
    

      
        18-Dec-2025
      
    

    

      09:10 - 9:15 (Online)
      
        Estimating Large Dense Covariance Matrices under Changing Market Conditions

        By: Kathy Ensor, Rice University, USA 

        Abstract
      		
    

    

      9:50 - 10:30
      
        Predicting the Conditional Distributions of Inflation and Inflation Uncertainty in South Africa: The Role of Climate Risks

        By:  Rangan Gupta, University of Pretoria, South Africa

        Abstract
      		
    

    

      10:30 - 10:45
      Tea
    

    

      10:45 - 11:25 
      
        Portfolio Optimization beyond Markowitz Mean Variance Portfolio Optimization  

        By:  Choudur Lakshminarayan, Stevens Institute of Technology, USA

        Abstract
      		
    

    

      11:25 - 12:05 (Online)
      
        Estimating Large Dense Covariance Matrices under Changing Market Conditions 

        By:  George-Rafael Domenikos, Nanyang Technological University, Singapore 

        Abstract
      		
    

    

      12:05 - 12:45
      
        Some nonparametric methods for analysing financial data 

        By:  Soudeep Deb, IIM, Bangalore

        Abstract
      		
    

    

      12:45 - 13:45
      Lunch
    

    

      13:45 - 14:25 
      
        A model of contagion without trading relations  

        By: Gopal Basak, ISI Kolkata 

        Abstract
      		
    

    

      14:25 - 15:25
      
        
    
        
  1. 1. Data-Driven Early Warning Systems for Loan Default Prediction: Evidence from MSME-Linked Portfolios of a Public Sector Bank in India
    
        By Manish Dulal, IIT Bombay
    
        Abstract
    2. 
        
  2. 2. A self-supervised learning approach for denoising autoregressive models with additive noise: finite and infinite variance cases
    
        By Sayantan Banerjee, IIT Madras
    
        Abstract
    3. 
        
  3. 3. Change Point Detection in Functional Time Series,
     By Debanjana Datta, ISI, Bangalore
    
        Abstract
    4. 
        
  4. 4. Portfolio Optimization using (Stochastic) Fuzzy Dynamic Programming,
     By Pavan Saxena, IIT Kanpur
    
        Abstract
    5. 
        
  5. 5. Computational Implementation of Heston, CIR2, HJM and LIBOR Market Models,
     By Parth Misra, IIM Ahmedabad,
    
        Abstract 
    6. 
        

      		
    

    

      15:25 - 16:00
      Tea
    

    

      16:00 - 17:00
      
        Panel Discussion:

        Panelist
        
    
        
  1. 1. Arjun Beri, Wells Fargo, India 
    2. 
        
  2. 2. Dale Rosental, Parametric/Morgan Stanely, USA
    3. 
        
  3. 3. Nalini Ravishanker University of Connecticut, USA
    4. 
        

        Moderator
        
    
        
  1. Sonali Das, University of Pertoria, South Africa 
    2. 
        

      		
    

    

      17:30 - 19:30
      Commitee meeting, by invitation only
    


    
    

      
        19-Dec-2025
      
    

    

      09:10 - 9:50 (online)
      
        Forecasting High Frequency End-of-Day Volume with the CoFES Seasonal Nonlinear Autoregressive Neural Network With Exogenous Variables (CoFES S-NARX) 

        By: Michale Jackson, Rice University, USA

        Abstract
      		
    

    

      9:50 - 10:30
      
        A General Theory of Sustainable Portfolio Choice and Market Equilibrium under Stochastic Sustainability

        By:  Dipankar Mondal, IIT Guwahati

        Abstract
      		
    

    

      10:30 - 10:45
       Tea
    

    

      10:45 - 11:25
      
        Stochastic Volatility Models with Markov-dependent Innovations 

        By: N Balakrishna, IIT Tirupati

        Abstract
      		
    

    

      11:25 - 12:05
      
        Distributional Impacts of Short-Term Electricity Supply Shocks 

        By: Arundhati Tillu, Wells Fargo, Bangalore

        Abstract
      		
    

    

      12:05 - 12:45
      
       Inference for Generalized Multivariate Analysis of Variance (GMANOVA) models, under Multivariate Skew Normal and Matrix Variate t distribution for modelling skewed and heavy-tailed data 

        By: Sayantee Jana, IIT, Hyderabad

        Abstract
      		
    

    

      12:34 - 13:45
      
       Lunch
      
    

    

      13:45 - 14:25
      
        Beyond Returns: Count Time Series Methods in Finance 

        By: TV Ramanathan, Plaksha University

        Abstract
      		
    

     

      14:25 - 15:05 (online)
      
       Title: TBA 

        By: Hemang Mandalia, 

        Abstract
      		
    

    

      15:05 - 15:20
      
        Tea
      
    

    

      15:20 - 16:20
      
        
    
        
        
  1. 1. Analysing Models for Volatility Clustering with Subordinated Processes: VGSA and Beyond
    
        By Sourojyoti Barick, ISI Kolkata
    Abstract
    2. 
        
  2. 2. Understanding Carbon Trade Dynamics: A European Union Emissions Trading System Perspective,
    
        By Avirup Chakraborty ISI Kolkata
    Abstract
    3. 
        
  3. 3. Modelling and Inference on Interval-Valued Data with Applications to Finance,
     By Dyuti Manik, ISI Kolkata
    Abstract
    4. 
        
  4. 4. Novel Risk Measures for Portfolio Optimization Using Equal-Correlation Portfolio Strategy,
     By Biswarup Chakraborty, ISI Kolkata, 
    Abstract
    5. 
        
  5. 5. Uncertainty in RBI Communication and Time-Varying Spillovers in India's Financial Markets
    
        By Bhashkar Kumar Kashyap, IISER Bhopal
     
        Abstract
    6. 
        

      		
    

     

      16:20 - 17:00
      
        Real-time Market Microstructure Analysis 

        By:  Arjun Beri, Wells Fargo, Bangalore

        Abstract
      		
    

    

      17:00 - 17:50
      
        Photo Session and Snacks
      
    

    
    

      18:00 - 20:00
      
        Musical Concert followed by Conference Dinner
         
    
         
  1.  Sruthi Sagar - Flute
    2. 
         
  2.  Madan Mohan - Violin 
    3. 
         
  3.  Manoj Siva - Mrdaṅgam 
    4. 
         

      		
    

   

    
    

      
        20-Dec-2025
      
    

    

      09:10 - 9:50 (online)
      
        Parametric Estimation of SDEs under Indirect Observability from Multiscale Data 

        By: Ilya Timofeyev University of Houston, USA

        Abstract
      		
      
    

    

      9:50 - 10:30
      
      Sustainable Investment: Maintaining portfolio performance while reducing the carbon footprint 

        By: Rituparna Sen ISI, Bangalore

        Abstract
      		
      
    

    

      10:30 - 10:45
      
        Tea
      
    

    

      10:45 - 11:15
      
        Hawkes processes in high-frequency markets 

        By: Aditya Nittur, Algoquant Ltd.

        Abstract
      		
    

    

      11:15 - 11:45
      
        SEC Form N-PORT: Insights on Fund Holdings Changes 

        By: Meredith Kruse, Rice University, USA

        Abstract
      		
    

    

      11:45 - 12:10
      
         
    
         
  1. 1. Robust Hedging of path-dependent options using  a min-max algorithm
    
        By Purba Banerjee, IISc, Bangalore 
        Abstract
        
    2. 
        
  2. 2. Identifying Core-Periphery Structure in Networks via Artificial Ants
    
            
        By Imran Ansari, IISc, Bangalore 
        Abstract
        
    3. 
        

      		
    

    

      12:10 - 12:50 (online)
      
        Title: TBA 

        By: Charles-Albert Lehalle, Ecole Polytechnique, Institut Polytechnique de Paris, France

        Abstract
      		
    

    

      12:50 - 13:00
      Vote of Thanks
    

    

      13:00 - 14:30
      Lunch
    

  


















	
		

		
 




	

	

	
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