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Dr Anindya Goswami

vidwan id: 94850
Male

Associate Professor, Mathematics
Indian Institute of Science Education and Research(IISER), Pune

Expertise

  • Mathematics

Publications

Total Articles 24
Books 0
Proceedings 0

Publications

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Scopus

Citations 139
h-index 7

CrossRef

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Citations 129
h-index 7
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Bio

Stochastic Control, Mathematical Finance, Machine learning model of derivative pricing

Personal Details

  • Male
  • Associate Professor , Indian Institute of Science Education and Research(IISER), Pune
  • Indian Institute of Science Education and Research, Pune
Ph.D
Indian Institute of Science Bangalore 2008
B.Sc.
Other Institute 2002
Associate Professor Mar 2018 – Present
Indian Institute of Science Education and Research(IISER), Pune | Mathematics
Assistant Professor Aug 2011 – Mar 2018
Indian Institute of Science Education and Research(IISER), Pune | Mathematics

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Co-Authors (4)

Gopal Krishna

Prof Gopal Krishna Basak

Indian Statistical Institute, Kolkata

Mrinal K.

Prof Mrinal K. Ghosh

Indian Institute of Science Bangalore

K Suresh

Dr K Suresh Kumar

Indian Institute of Technology Bombay

Scholarly Work

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Scholarly Publications

Data-driven option pricing using single and multi-asset supervised learning

Open Access
journal-article

Testing of binary regime switching models using squeeze duration analysis

Open Access
journal-article

Risk sensitive portfolio optimization in a jump diffusion model with regimes

Open Access
Article

Option pricing in a regime switching stochastic volatility model

Open Access
Article

Pricing derivatives in a regime switching market with time inhomogenous volatility

Open Access
Article

A system of non-local parabolic PDE and application to option pricing

Open Access
Article

Convergence of estimated option price in a regime switching market

Open Access
Article

On the risk-sensitive cost for a Markovian multiclass queue with priority

Open Access
Article