Saikat Nandi

1.6k total citations · 1 hit paper
13 papers, 1.1k citations indexed

About

Saikat Nandi is a scholar working on Finance, Economics and Econometrics and Demography. According to data from OpenAlex, Saikat Nandi has authored 13 papers receiving a total of 1.1k indexed citations (citations by other indexed papers that have themselves been cited), including 13 papers in Finance, 4 papers in Economics and Econometrics and 3 papers in Demography. Recurrent topics in Saikat Nandi's work include Stochastic processes and financial applications (12 papers), Financial Risk and Volatility Modeling (7 papers) and Financial Markets and Investment Strategies (4 papers). Saikat Nandi is often cited by papers focused on Stochastic processes and financial applications (12 papers), Financial Risk and Volatility Modeling (7 papers) and Financial Markets and Investment Strategies (4 papers). Saikat Nandi collaborates with scholars based in United States. Saikat Nandi's co-authors include Steven L. Heston and Daniel F. Waggoner and has published in prestigious journals such as Review of Financial Studies, Journal of Banking & Finance and Econometric Reviews.

In The Last Decade

Saikat Nandi

13 papers receiving 1.0k citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

A Closed-Form GARCH Option Valuation Model

2000 658 citations Steven L. Heston, Saikat Nandi Review of Financial Studies profile →

Peers

Countries citing papers authored by Saikat Nandi

Since Specialization

Citations

This map shows the geographic impact of Saikat Nandi's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Saikat Nandi with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Saikat Nandi more than expected).

Fields of papers citing papers by Saikat Nandi

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Saikat Nandi. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Saikat Nandi. The network helps show where Saikat Nandi may publish in the future.

Co-authorship network of co-authors of Saikat Nandi

This figure shows the co-authorship network connecting the top 25 collaborators of Saikat Nandi. A scholar is included among the top collaborators of Saikat Nandi based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Saikat Nandi. Saikat Nandi is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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13 of 13 papers shown

#	Work	Indexed citations
1	A multi-factor Markovian HJM model for pricing American interest rate derivatives 2007 ·Review of Quantitative Finance and Accounting ·(unknown), Saikat Nandi, (unknown)	5
2	A Two-Factor Term Structure Model under GARCH Volatility 2003 ·The Journal of Fixed Income ·Steven L. Heston, Saikat Nandi	11
3	Equity Home Bias: Can Information Cost Explain the Puzzle? 2001 ·Econometric Reviews ·Saikat Nandi, Daniel F. Waggoner	45
4	Issues in hedging options positions 2000 ·Econometric Reviews ·Saikat Nandi, Daniel F. Waggoner	2
5	A Closed-Form GARCH Option Valuation Model breakdown → 2000 ·Review of Financial Studies ·Steven L. Heston, Saikat Nandi	658
6	A Closed-Form GARCH Option Valuation Model 2000 ·SSRN Electronic Journal ·Steven L. Heston, Saikat Nandi	61
7	Derivatives on Volatility: Some Simple Solutions Based on Observables 2000 ·SSRN Electronic Journal ·Steven L. Heston, Saikat Nandi	39
8	Asymmetric information about volatility: How does it affect implied volatility, option prices and market liquidity? 2000 ·Review of Derivatives Research ·Saikat Nandi	17
9	A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility 1999 ·SSRN Electronic Journal ·Steven L. Heston, Saikat Nandi	5
10	Valuation models for default-risky securities: An overview 1998 ·Econometric Reviews ·Saikat Nandi	19
11	Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach 1998 ·SSRN Electronic Journal ·Steven L. Heston, Saikat Nandi	2
12	How important is the correlation between returns and volatility in a stochastic volatility model? Empirical evidence from pricing and hedging in the S&P 500 index options market 1998 ·Journal of Banking & Finance ·Saikat Nandi	84
13	A Closed-Form GARCH Option Pricing Model 1998 ·SSRN Electronic Journal ·Steven L. Heston, Saikat Nandi	127

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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