Anindya4.JPg



Dr. Anindya Goswami

 

Office: A-404 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 and Control


Publication: 

·         A complete list by Google Scholar Citation

·         Other online database by MathSciNet, ORCID, Research Gate, Scopus, ZbMATH

·         List of recent publications


Other links: 

·         Teaching

·         Students' thesis

·         Other academic activities

·         Yet another homepage


Notice:

·       Postdoctoral position (Apply before 10th August)
Advt. No.43/2017 in http://www.iiserpune.ac.in/links/job-opportunities

·        Statistical Methods in Finance 2018 image004

 


Events: 

·         Workshop on Mathematical Finance 2018

·         Inter IISER Mathematics Meet (IIMM) 2017

·         Indo-US Workshop on Time Series Analysis 2015

·         In-house symposium on Finance 2015

 


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 Semi-Markov 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-“Semi-Markov 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, Point-set Topology, Measure Theory, Functional Analysis, Numerical Analysis, Stochastic Processes, Mathematical Finance, to name a few. I am reappointed at the same department as an Associate Professor in spring, 2018. My current research interest comprises of Non-cooperative Stochastic Dynamic Game, Stochastic Control, Mathematical Finance, and Queueing Network. So far, I have coauthored many peer-reviewed research articles published in well-reputed 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, heavy-tail distribution of log return, jump discontinuities of asset price etc. In the classical model of stock prices by Black-Scholes-Merton(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 finite-state Markov regime is a very popular choice.

In comparison with Markov switching, the study of semi-Markov (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 semi-Markov processes with age-dependent transitions whereas the one which appeared in 2009 can be termed as the class of semi-Markov processes with age-independent transitions. In both of the papers, all the model parameters depend on a single SM process. Next we consider a component-wise semi-Markov 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. (2018). 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 (2018). 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 (2018) I have investigated option pricing in a jump-diffusion (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’12-July’12

Analyst in HSBC

Jeeten Patel

IISER P

MS dissertation

Aug’12-Mar’14

MBA in IIM Lucknow

 Sheetal Chechani
&Trapti Shinghal

CURaj

MSc dissertation

Mar’13-May’13

Rainman Consultancy

Poorva Shevgaonkar

IIT Kha

summer

June’13-Aug’13

Analyst  Goldman Sachs

Abinash Pati

IIT Madras

Winter

Nov’13-Dec’13

MS Finance at Tilburg University

Akash Krishna

IISER P

MS dissertation

May’14-April’15

 

Nimit Rana

IISER T

MS dissertation

May’14-April’15

PhD University of York

Shirish Kulhari

IISER P

MS dissertation

Sept’13-May’15

MBA in IIM Lucknow

Sanket Nandan

IISER P

MS dissertation

May’14-June’15

TA in Ghent University Global Campus, Korea

Tanmay Patankar

IISER P

MS dissertation

May’15-June’16

MS Finance in Oxford University

Omkar Manjarekar

IISER P

MS dissertation

May’16- April’17

 

Milan Kumar Das

IISER P

Doctoral

July’15-July’18

FinIQ Postdoctoral Fellow

Aakash Verma

IISER P

MS dissertation

May’17-April’18

 

Anjana Ramachandran

Univ of Botswana

Doctoral

Oct’16-Present

 

Sanjay N. S.

IISER P

MS dissertation

May’18-present

 

 

 

Seminar

Math Seminars at IISER

Seminars at IISER

 

Career Opportunities

Math Phd at IISER

https://pmrf.in

http://www.serbficci-iirrada.in/index.html

Postdoc at IISER

https://www.icts.res.in/academic

http://www.uncertainaffairs.com

https://www.sciencesmaths-paris.fr/en/postdoctoral-programmes-247.htm

http://che.org.il/wp-content/uploads/2012/11/Regulations-and-guidelines-for-applicants-cycle-3.pdf

http://www.iusstf.org/program/serb-indo-us-postdoctoral-fellowship-for-india-researchers

 

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