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CV of Anindya

Name & Surname Anindya Goswami


Gender Male
Date of Birth February 4, 1980
Nationality Indian
Marital Status Married

Current Occupation
Postdoctoral Researcher at Technion, Israel Institute of Technology

Previous Positions
• Postdoctoral Researcher at INRIA Rennes, France (March 2010 - Aug 2010)

• Postdoctoral Researcher at the Department of Applied Mathematics, University of Twente, Enschede,


The Netherlands (Nov 2008 - Jan 2010)
• Postdoctoral Research Associate at the Department of Mathematics, Indian Institute of Science, Ban-
galore (Aug 2008 - Nov 2008)
• SPM Fellow at the Department of Mathematics, Indian Institute of Science, Bangalore (Aug 2005 -
Jul 2008)
• MHRD Scholar at the Department of Mathematics, Indian Institute of Science, Bangalore (Aug 2002
- Jul 2005)

Education
• Ph.D. on Semi-Markov Processes in Dynamic Games and Finance in 2008
Ph.D. Supervisor: Prof. Mrinal K. Ghosh, Department of Mathematics, Indian Institute of Science,
Bangalore
• M.S. (3 years’ course) in Mathematics in 2005
Affiliation: Department of Mathematics, Indian Institute of Science, Bangalore
MS Thesis: Controlled Semi-Markov Processes with Partial Observation
Supervisor: Prof. M. K. Ghosh
• B.Sc. in Mathematics(Major), Statistics and Physics in 2002.
St. Xavier’s College Calcutta under the University of Calcutta, Kolkata.
Division: First Class

Awards and Honors


• Shyama Prasad Mukherjee Fellowship Award 2005, received from C.S.I.R. India, for the best perfor-
mance in National Eligibility Test (N.E.T.).
• Ram Ghosh Encouragement Award 2001, received from St. Xavier’s College Calcutta.

1
Research Interest: Stochastic Control and Mathematical Finance
Specific Areas of Interests: Derivative pricing in incomplete market, portfolio optimizations, noncoop-
erative dynamic games, Semi-Markov models in finance and dynamic game
Other Areas of Interests: insurance mathematics, rare event simulation, large deviation principle,
processes under periodic boundary conditions, numerical PDE.

A. Published Articles in Scientific Journals


1. M. K. Ghosh and A. Goswami, Semi-Markov decision processes with partial observation [invited],
Bulletin of Kerala Mathematics Association 1 (2004) 148-168.
2. M. K. Ghosh and A. Goswami, Partially observable semi-Markov games with discounted payoff, Stoch.
Anal. Appl. 24 (2006) 1035-1059.
3. M. K. Ghosh and A. Goswami, Partially observable semi-Markov games with average payoff, J. Math.
Anal. Appl. 345 (2008) 26-39.

4. M. K. Ghosh and A. Goswami, Risk minimizing option pricing in a semi-Markov modulated market,
SIAM J. Control Optim. 48 (2009) 1519-1541.
5. M. K. Ghosh, A. Goswami and Suresh K. Kumar, Portfolio optimization in a Markov modulated market,
in chapter Modern Trends In Controlled Stochastic Processes: Theory and Applications, Luniver Press
2010, 181-195.
6. M. K. Ghosh, A. Goswami and Suresh K. Kumar, Portfolio optimization in a semi-Markov modulated
market, Appl. Math. Optim. 60 (2009) 275-296.

B. Published Articles in Educational Journals


1. A. Goswami and I. H. Biswas, Plotting some interesting surfaces [expository], Resonance: Journal
of Science Education 9 (2004) 67-74.

C. Articles in Press
1. G. Basak, M. K. Ghosh and A. Goswami, Risk minimizing option pricing for a class of exotic options
in a Markov modulated market, Stoch. Anal. and Appl., to appear.

D. Articles Submitted to Journals/Procedings


1. A. Goswami and G. J. Bakker, Periodic boundary condition in large scale random air traffic scenarios,
WP7.2d report, project iFly (2010) 1-20.

2. A. Bagchi, A. Goswami and Suresh K. Kumar, Brownian particles with periodic boundary conditions.
3. A. Goswami and F. Le Gland, Marginalization for rare event simulation in switching diffusions.