School of Industrial Engineering
Office: Pavilion F.5
Phone: +31 (0)402472826
Ph.D. (2008), Purdue University, IN
M.S. (2006), Purdue University, IN
B.Sc. (Hons) (2004), Cass Business School, London
- Decision-making under uncertainty, stochastic control
- Computational methods for free-boundary problems
- Stochastic optimization
Selected Journal Papers
A. Chockalingam and K. Muthuraman. "An Approximate Moving Boundary Method for American
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 .
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