Anindya Goswami
Associate Professor
Mathematics Data Science (Joint)
Stochastic Control, Mathematical Finance, Machine learning model of derivative pricing
+91-20-25908105
anindya@iiserpune.ac.in
Anindya Goswami received BSc in Mathematics from St. Xavier's College, Calcutta. He joined the Integrated PhD program in the Department of Mathematics at the Indian Institute of Science, Bangalore from where he received PhD in 2008. In the following three years, he carried out postdoctoral research at the University of Twente, Netherlands; INRIA- Rennes, France; and Technion- Israel Institute of Technology, Israel. He joined IISER Pune as an Assistant Professor in the Fall of 2011.
Research
Mathematical finance, stochastic processes and control
Dr. Anindya Goswami’s research extends option pricing beyond the classical Black–Scholes–Merton model to capture stylized market features such as time-varying (stochastic) volatility, heavy-tailed returns, jumps, and long-memory effects, using regime-switching frameworks where volatility depends on economic states driven by pure-jump processes. While Markov regime switching is common, his group advances semi-Markov switching to incorporate market memory via sojourn times, enabling more realistic pricing. They derive and solve a generalized BSM option-pricing PDE under these models and address practical calibration.
Complementing these model-based advances, his group develops data-driven machine learning methods that learn directly from observed market data rather than assumed asset dynamics. They prioritize domain adaptation and robust generalization across assets, time periods, and market regimes, enabling multi-source training that mitigates data sparsity and distribution shifts while maintaining strong out-of-sample performance.
Selected Publications
Goswami, A. and Rana, N. (2025). A market resilient data-driven approach to option pricing. Quantitative Finance, 25:1581-1597.
Goswami, A. and Patel, K.S. (2025). Domain truncation error analysis for a multidimensional system of PDEs of option prices, Math. Comput. Simulation. 236:354-378.
Goswami, A. Yadav, R.K. and Saha, S. (2024). Semimartingale representation of a class of semi-Markov dynamics, Journal of Theoretical Probability, 37:489-510.
Goswami, A. Rana, N. and Siu, T.K. (2022). Regime switching optimal growth model with risk sensitive preferences. Journal of Mathematical Economics 101:102702.
Das, M., Goswami, A. and Rana, N. (2018). Risk sensitive portfolio optimization in a jump diffusion model with regimes. SIAM J. Control Optim. 56:1550-1576.