Dr. Anindya Goswami
Office: A404 Main Building
IISER Campus
Dr. Homi
Bhabha Road, Pashan
Pune 411008, India
Phone: +91 (20) 2590 8105
anindya(a)iiserpune.
ac. In
Research
interest:
·
Mathematical Finance,
Stochastic Processes
Publication:
·
A
complete list by Google
Scholar Citation
·
Other
online database by MathSciNet,
ORCID, Research
Gate, Scopus, ZbMATH
Other
links:
·
Teaching
Events:
·
Workshop on
Mathematical Finance 2018
·
Inter
IISER Mathematics Meet (IIMM) 2017
Notice: Postdoctoral position is Open
·
Number of positions: one
·
Area: Stochastic Control
·
Department: Mathematics, IISER Pune
·
Starting date: December 2017
·
Eligibility: PhD in related area not before 2014
·
Duration: 1+1 years
·
Application deadline: 31^{st} October 2017
·
Procedure: email a CV to anindya@iiserpune.ac.in and anup@iiserpune.ac.in
About
me: I received my Bachelor's degree
in Mathematics from St. Xavier's College, Calcutta in 2002. Later in the same
year, I joined the Integrated Ph.D. program in the Department of Mathematics
in Indian Institute of Science, Bangalore. Following the completion of my MS
degree in 2005, I received the SPM fellowship as part of the National Award
for best performance in National Eligibility Test in Mathematical Sciences.
My MS thesis was titled “Controlled SemiMarkov Processes with Partial
Observation”. I was bestowed with the Doctorate degree from the
Department of Mathematics, IISc in the year 2008.
(Link to my Ph.D thesis“SemiMarkov
Processes in Dynamic Games and Finance”) The following three years,
I carried out my postdoctoral research in the University of Twente, Netherlands; INRIA Rennes, France; and Technion Israel Institute of Technology, Israel
respectively. I joined IISER Pune as an Assistant
Professor in fall, 2011. Since then, I have offered a variety of graduate and
undergraduate courses Multivariable Calculus, Pointset Topology, Measure
Theory, Functional Analysis, Numerical Analysis, Stochastic Processes, Mathematical
Finance, to name a few. My current research interest comprises of
Noncooperative Stochastic Dynamic Game, Stochastic Control, Mathematical
Finance, and Queueing Network. So far, I have
coauthored many peerreviewed research articles published in wellreputed
journals including J. Math. Anal. Appl., SIAM J. Control Optim., Appl. Math. Optim.,
Electron. Commun. Probab., Statist. Probab. Lett. and Stoch. Anal. Appl. I am an
invited reviewer of Mathematical Reviews, published by American Mathematical
Society and I also regularly take up refereeing responsibility from several
Mathematics journals and book publishers. Research
Summary on Derivative Pricing: One of my research goals is to
broaden the existing theory of option pricing to include some of the stylized
facts in the asset price model, such as long memory effect, stochastic
volatility, heavytail distribution of log return, jump discontinuities of
asset price etc. In the classical model of stock prices by BlackScholesMerton(BSM), which is
assumed to be Geometric Brownian Motion, the drift and the volatility of the
prices are held constant. However, in reality, the empirical volatility
varies over time. In regime switching model, it is assumed that the market
has finitely many hypothetical observable economic states and those are
realized for certain random intervals of time. In particular, the volatility
is assumed to depend on those regimes or states and the state transitions are
modeled by a pure jump process. The Market model with finitestate Markov
regime is a very popular choice. In comparison with Markov
switching, the study of semiMarkov (SM) regime switching is relatively
uncommon. In this type of models, one has an opportunity to incorporate some
memory effect of the market. In particular, the knowledge of past stagnancy
period can be fed into the option price formula to obtain the price value.
Hence this type of models has greater appeal in terms of applicability than
the one with Markov switching. The pricing problem with SM
regimes was first correctly solved in a paper with Mrinal
K. Ghosh (2009). We have addressed the locally risk
minimizing pricing of European type options. In a recent paper with two
students Goswami et al. (2016), I have studied the
same problem for a more general class of SM processes. This class can be
termed as the class of semiMarkov processes with agedependent transitions
whereas the one which appeared in 2009 can be termed as the class of
semiMarkov processes with ageindependent transitions. In both the papers,
all the model parameters depend on a single SM process. Next we consider a
componentwise semiMarkov process (CSM), which is a wider class of pure jump
processes than those mentioned above. Under such asset price model we derive
the option price equation (generalization of BSM PDE) and provide the
classical solution in Das et al. (2017). The sensitivity of the call option
price to the calibration error in the transition rate of SM process is
studied with S. Nandan (2016). Recently, the
European type option pricing in SM generalization of the Heston's
stochastic volatility model is carried out with A. Biswas
(2017). Again we successfully derive the pricing equation (a generalization
of Heston's PDE) and provide its classical
solution. With two other students O. Manjarekar and
A. ramachandran (2017) I have investigated option
pricing in a jumpdiffusion (JD) model with SM switching. JD is a very
successful model for the asset price for incorporating jump discontinuities,
giving rise to a heavy tail distribution of return. 
Past and present research
students:
Name 
Affiliation 
Project type 
Duration 
Placement 
Ravi Kant Saini 
IIT Kan 
summer 
June’12July’12 
Analyst in HSBC 
Jeeten Patel 
IISER
P 
MS
dissertation 
Aug’12Mar’14 
MBA
in IIM Lucknow 
Sheetal Chechani 
CURaj 
MSc dissertation 
Mar’13May’13 
Rainman Consultancy 
Poorva Shevgaonkar 
IIT
Kha 
summer 
June’13Aug’13 
Analyst Goldman Sachs 
Abinash Pati 
IIT Madras 
Winter 
Nov’13Dec’13 
MS Finance at Tilburg University 
Akash Krishna 
IISER
P 
MS
dissertation 
May’14April’15 

Nimit Rana 
IISER T 
MS dissertation 
May’14April’15 
PhD University of York 
Shirish Kulhari 
IISER
P 
MS
dissertation 
Sept’13May’15 
MBA
in IIM Lucknow 
Sanket Nandan 
IISER P 
MS dissertation 
May’14June’15 
TA in Ghent University Global Campus, Korea 
Tanmay Patankar 
IISER
P 
MS
dissertation 
May’15June’16 
MS
Finance in Oxford University 
Omkar Manjarekar 
IISER P 
MS dissertation 
May’16 April’17 

Milan Kumar Das 
IISER
P 
Doctoral 
July’15Present 

Aakash Verma 
IISER P 
MS dissertation 
May’17Present 

Anjana Ramachandran 
Univ of Botswana 
Doctoral 
Oct’16Present 

Seminar
Math Links
http://icts.res.in/news/details/167
http://www.uncertainaffairs.com
http://www.sciencesmathsparis.fr/en/Programs247.htm
http://che.org.il/wpcontent/uploads/2012/11/Regulationsandguidelinesforapplicantscycle3.pdf
http://iusstf.org/story/5395SERBIndoUSPostdoctoralResearchFellowshipProgram.html
IISER Links
http://webmail.iiserpune.ac.in