Sourav Majumdar
Department of Management Sciences,
Indian Institute of Technology Kanpur,
Kanpur-208016, India
Email: souravm@iitk.ac.in
I obtained my Ph.D. from IIM Ahmedabad which was followed by a stint at Citigroup in the Risk Modelling Utility. I work in statistics and its applications. My primary domain of application is in quantitative finance. I am interested in data science applications in other areas also.
- Statistics & Applied Probability : time series analysis & forecasting, stochastic processes, non-Euclidean statistics.
- Quantitative Finance : derivative pricing, credit risk modelling, financial econometrics.
I am looking for motivated Ph.D. & M.Tech. students to work with. Please write to me if you're interested.
Papers
- A Circular Chatterjee's Correlation Coefficient
Sourav Majumdar (2026)
arXiv:2605.22062.
- A stochastic correlation extension of the Vasicek credit risk model
Dhruv Bansal, Mayank Goud, and Sourav Majumdar (2026)
arXiv:2603.01109.
- Asian option valuation under price impact
Priyanshu Tiwari, and Sourav Majumdar (2025)
arXiv:2512.07154.
- Exact conditional goodness-of-fit tests for the mixed membership stochastic block model
Sourav Majumdar (2025)
arXiv:2507.14464.
- Diffusion on the circle and a stochastic correlation model
Sourav Majumdar, and Arnab K. Laha (2024)
arXiv:2412.06343.
- Markov processes on a circular lattice
Sourav Majumdar (2026)
arXiv:2603.02890.
Statistics & Probability Letters, Vol. 236, 110776.
- Pairs trading with topological data analysis
Sourav Majumdar, and Arnab K. Laha (2023)
International Journal of Theoretical and Applied Finance, Vol. 26, No. 8, 2450002.
- A multi-type branching process model for epidemics with application to COVID-19
Arnab K. Laha, and Sourav Majumdar (2023)
Stochastic Environmental Research and Risk Assessment, Vol. 37, 305-325.
- Angular-Angular and Linear-Angular Regression Using ANN
Arnab K. Laha, and Sourav Majumdar (2022)
In Directional Statistics for Innovative Applications, Ashis SenGupta and Barry C. Arnold, eds., 451-474, Springer.
- Clustering and classification of time series using topological data analysis with applications to finance
Sourav Majumdar, and Arnab K. Laha (2020)
Expert Systems with Applications, Vol. 162, 113868.
Software
- stochcorr: Stochastic Correlation Modelling via Circular Diffusion
Sourav Majumdar (2025)
CRAN.
Teaching
At IIT Kanpur I have taught the following courses:
- DMS613: Introduction to Mathematical Finance
- DMS625: Introduction to Stochastic Processes and their Applications
- MBA651: Quantitative Methods for Decision Making
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