Aparna Gupta

Visiting Scholar
Office of Research and Data Services

Education Summary

  • Ph.D. SCCM, Stanford University, 2000
  • M.Sc. Mathematics, Indian Institute of Technology, Kanpur, 1994
  • B.Sc. Mathematics, Indian Institute of Technology, Kanpur, 1993

Fields of Interest

  • Financial forecasting and simulation
  • Contingent and derivatives pricing
  • Asset pricing
  • Risk Management
  • Visiting Academic Scholar
    Division of Economic and Risk Analysis
    U.S. Securities and Exchange Commission
  • Associate Professor of Quantitative Finance
    Lally School of Management
    Rensselaer Polytechnic Institute
  • Visiting Researcher
    Institute for Development and Research in Banking Technology
    A Reserve Bank of India Research Institute
  • Assistant Professor
    Lally School of Management
    Rensselaer Polytechnic Institute
  • ​​de Carvalho, P.J.C., A. Gupta and K. Kar, 2017, Asset liability management in secondary spectrum markets, to appear in Journal of Financial Engineering.
  • Das, A.S., A. Gupta, G. Singh and L.V. Subramaniam, 2016, Mining Qualitative Attributes to Assess Corporate Performance, Tutorials in Operations Research: Gupta, A., Capponi, A., Smith, J. C., & Greenberg, H. J. (Eds.).(2016). Optimization Challenges in Complex, Networked and Risky Systems..
  • Edirisinghe, N.C., A. Gupta and W. Roth, 2015, Managing Credit Risk of a Portfolio of High Yield Bonds under Contagion, Journal of Banking and Finance, 60: 209 - 223
  • Francis, B., A. Gupta and I. Hasan, 2015 Impact of Compensation Structure and Managerial Incentives on Bank Risk Taking, European Journal of Operational Research, 242(2): 651 – 676
  • Gupta, A., K. Kar and P.K. Muthuswamy, 2015, Design and Pricing of Spectrum Derivatives, Journal of Financial Engineering, 2(1).
  • Gao, T., A. Gupta, N. Gulpinar and Y. Zhu, 2015, Optimal Hedging Strategy for Risk Management on a Network, Journal of Financial Stability, 16: 31 – 44
  • Gupta, A., 2013, Risk Management and Simulation, CRC Press, Taylor and Francis Group, ISBN 9781439835944
  • Gupta, A. and Z. Li, 2013, Impact of Health and Longevity Risk on Optimal Annuity Planning, Journal of Family and Economic Issue, 34(4): 447 - 459
  • Gupta, A. and Z. Li, 2011, Calibration of a Stochastic Health Evolution Model for Optimal Healthcare Financing Decisions using NHIS Data, Physica A, 390(20): 3524 – 3540
  • Gupta, A., and H. Wang, 2011, Assessing Securitization and Hedging Strategies for Management of Longevity Risk, International Journal of Banking Accounting and Finance, 3(1): 47 - 72.
  • Gupta, A. and L. Li, 2010, Behavioral Modeling in Optimal Investment-Consumption Decisions for Long-term Financial Planning, Dynamics of Continuous, Discrete & Impulsive Systems, Series B: Applications and Algorithms (DCDIS-B), 17(1): 23 - 54.
  • Gupta, A. and L. Li, 2007, Integrating Long-term Care Insurance Purchase Decision with Saving and Investment for Retirement, Insurance: Mathematics and Economics, 41(3): 362 - 381.
  • Gupta, A., and A. Li, 2007, Integrating Optimal Annuity Planning with Consumption-Investment Selections, Insurance: Mathematics and Economics, 41(1): 96 - 110
  • Feng, H., A. Gupta and T. Willemain, 2006, Wavelet based Bootstrap for Pricing Path-dependent Options, Journal of Computational Finance, 10(1): 1 - 24
  • Gupta, A., Murray, W., 2005, A Framework Algorithm to Compute Optimal Asset Allocation for Retirement with Behavioral Utilities, Computational Optimization and Applications, 31: 1 - 23
  • Adachi, J.A. and A. Gupta, 2005, Simulation-based Parametric Optimization for Long-term Asset Allocation using Behavioral Utilities, Applied Mathematical Modelling, 29(4): 309 - 320
  • Gupta, A., and L. Li, 2004, A Modeling Framework for Optimal Long-term Care Insurance Purchase Decisions in Retirement Planning, Health Care Management Science, 7(2)
  • Gupta, A., and W.Murray, 2003, How to Spend and Invest Retirement Savings, Annals of Operations Research, 124(1): 205 - 224
  • de Carvalho, P.J.C., and A. Gupta, 2016, Explanatory Co-movement in Asset Prices with Minimal Dependence Structures, R&R with Journal of Banking and Finance.
  • Gupta, A., M. Simaan and M.Zaki, 2016, Prediction of Bank Failures in the 2008 Financial Crisis: Text-based Approach.
  • Gupta, A., K.Kar and M.Simaan, 2016, Filtering for Risk Assessment of Interbank Network.
  • de Carvalho, P.J.C., and A.Gupta, 2016, Multivariate Jump Diffusion Model with Markovian Contagion.
  • de Carvalho, P.J.C., and A. Gupta, 2016, Cross-border banking exposures and international markets comovement.
  • Agarwal, A., A.Gupta, A.K.Kumar and S.Tamilselvam, 2016. Learning risk culture of banks using news analytics, Working Paper.

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