A ChockalingamArun Chockalingam

Assistant Professor
School of Industrial Engineering
Office: Pavilion F.5
Phone: +31 (0)402472826
Email: A.Chockalingam@tue.nl


             Education

Ph.D. (2008), Purdue University, IN

M.S. (2006), Purdue University, IN

B.Sc. (Hons) (2004), Cass Business School, London


     Research Interests

Application Domains


                Selected Journal Papers

A. Chockalingam and K. Muthuraman. "An Approximate Moving Boundary Method for American
Options
."
European Journal of Operational Research , vol. 240 ( 4) 431-438, 2015 .

A. Chockalingam and K. Muthuraman. "American Options under Stochastic Volatility."
Operations Research, vol. 59 ( 4) 793-809, 2011 .

A. Chockalingam and K. Muthuraman. "Pricing American Options when Asset Prices Jump ."
Operations Research Letters , vol. 38 ( 2) 82-86, 2010 .


 

       Current Work

Pricing American options using sub-optimal policies (with H. Feng)

A simulation-based moving-boundary approach to price multidimensional American options (with S. Dabadghao)

Real-time Operational Management of Hospital Resources (with H. Feng and M. A. Lawley)

Integrated Risk Management in Offshore Wind Farm Construction (with F. Tanrisever)

A Stochastic Control to Operationalizing Offshore Production Decisions (with T. Soltani, H. Feng and J. Fransoo)


                 Curriculum Vitae   pdf

 

 

Last updated: October 28, 2014