A ChockalingamArun Chockalingam

Assistant Professor
School of Industrial Engineering
Office: Pavilion F.5
Phone: +31 (0)402472826
Email: a.chockalingam[at]tue[dot]nl


             Education

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

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

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


     Research Interests

Decision-making under uncertainty, stochastic control (Financial engineering, healthcare etc.)

Computational methods for free-boundary problems

Stochastic optimization


                Selected Journal Papers

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

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


       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 M. Javeri and M. A. Lawley)


                 Curriculum Vitae   pdf

 

 

Last updated: October 28, 2013