Author

S. Rujivan

h-index 9 View on Semantic Scholar

We have 2 of 40 papers

We haven’t gathered this author’s papers yet. Follow them and we’ll fetch their work.

Not the right person? Other researchers publish under this name.

Open access Sep 2026

Nonlinear Volatility Derivatives Under Generalized Mixed Fractional Brownian Dynamics with Long-Range Dependence: Distributional Analysis and Valuation

This paper develops a distributional framework for discretely monitored volatility derivatives with nonlinear payoffs under generalized mixed fractional Brownian dynamics. Multiple fractional components with distinct Hurst parameters and positive weights generate heterogeneous temporal dependence while preserving a fin...

Seyha Lim, S. Rujivan, Angelo E. Marasigan · Fractal and Fractional · 0 citations

Open access Jul 2026

Closed-Form Covariance Matrix for Portfolio Optimization: Theory and Empirical Evidence Under a Multidimensional Black–Scholes Model with Time-Varying Parameters

This paper develops a model-driven analytical framework for portfolio optimization under a multidimensional Black–Scholes model with time-varying parameters, where both the drift and volatility functions evolve linearly over time. Within this framework, explicit closed-form expressions are derived for the covariance ma...

Touch Toem, S. Rujivan, Angelo E. Marasigan · Mathematics · 0 citations