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 (Financial engineering, healthcare etc.)
Computational methods for free-boundary problems
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 .
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