Professor Ph.D. (University of Illinois at Chicago, USA)
+91-361-2582606 pratim ◊ iitg ⋅ ac ⋅ in
Research Area: Mathematical Finance, Portfolio Theory, Financial Risk Management, Computational Finance, Financial Data Analytics, Business Analytics, Algorithmic and High Frequency Trading, Mathematical Biology and Mathematical Epidemiology
Room No: E1-104
Personal Website | IRINS Profile
Address:
Department of Mathematics
IIT Guwahati
Guwahati - 781039, Assam, India
Department Responsibilities:
DUPC, Member
Internal Member and Secretary
Mathematical Finance
Portfolio Theory
Financial Risk Management
Computational Finance
Financial Data Analytics
Business Analytics
Algorithmic and High Frequency Trading
Mathematical Biology
Mathematical Epidemiology
Doctor of Philosophy (Mathematics).
University of Illinois at Chicago, Chicago, USA, 2006.
Master of Science (Mathematics).
University of Illinois at Chicago, Chicago, USA, 2002.
Master of Science (Mathematics).
St. Stephen’s College, Delhi, India, 2000.
Bachelor of Science (Honours Course) (Mathematics).
St. Stephen’s College, Delhi, India, 1998.
Professor, Indian Institute of Technology Guwahati, August 2019 - present.
Faculty in the Department of Mathematics, August 2019 - present.
Associate Faculty in the Mehta Family School of Data Science and Artificial Intelligence, June 2021-present.
Adjunct Faculty in the School of Business, July 2022-present.
Associate Faculty in the School of Business, December 2021-June 2022.
Associate Professor, Indian Institute of Technology Guwahati, February 2015 - August 2019.
Assistant Professor, Indian Institute of Technology Guwahati, October 2009 - February 2015.
Senior Lecturer, Indian Institute of Technology Guwahati, June 2007 - October 2009.
Visiting Fellow, Tata Institute of Fundamental Research Centre, Bengaluru, August 2006 - May 2007.
Visiting Faculty, University of New South Wales, Sydney, Australia, May 2010 - June 2010.
Instructor, Coursera, Indian Institute of Technology Guwahati (1 Course).
Mathematics Essentials (as a part of Bachelor of Science (Honours) in Data Science & Artificial Intelligence).
Subject Matter Expert (Instructor), National Programme on Technology Enhanced Learning (NPTEL), Indian Institute of Technology Guwahati (2 Courses).
Mathematical Finance.
Mathematical Portfolio Theory.
Instructor, Indian Institute of Technology Guwahati (24 Courses) (Department of Mathematics, unless otherwise specified).
Mathematical Finance.
Financial Engineering - I.
Stochastic Calculus for Finance.
Financial Engineering - II.
Financial Engineering Lab.
Computational Finance.
Monte Carlo Simulation.
Portfolio Theory and Performance Analysis.
Financial Risk Management and Modelling.
Mathematics of Financial Derivatives.
Algorithmic and High Frequency Trading.
Mathematical Statistics.
Mathematics - II.
Mathematics - III.
Differential Equations.
Numerical Analysis.
Numerics of Partial Differential Equations.
Numerics of Partial Differential Equations Lab.
Mathematical Methods.
Preparatory Mathematics - I.
Sustainable Development Goals (Department of Humanities and Social Sciences).
Introduction to Mathematical Biology (Mehta Family School of Data Science and Artificial Intelligence).
Financial Systems (School of Business)
Corporate Finance (School of Business)
Instructor, Tata Institute of Fundamental Research Centre, Bengaluru (1 Course).
Numerical Analysis.
Instructor, University of Illinois at Chicago (1 Course as Instructor, in addition to several courses as Teaching Assistant).
Calculus - III.
1. Siddhartha Pratim Chakrabarty and Ankur Kanaujiya, "Mathematical Portfolio Theory and Analysis", 0 , Birkhauser [2023]
1. Shashwat Mishra, Rishabh Raj and Siddhartha P. Chakrabarty, "Encyclopedia of Monetary Policy, Financial Markets and Banking", Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets , Elsevier [2024]
44. Suryadeepto Nag, Ananda Shikara Bhat and Siddhartha P. Chakrabarty, "Studying the age of onset and detection of Chronic Myeloid Leukemia using a three-stage stochastic model", Journal of Biological Systems [2024]
43. Sonjoy Pan, Siddhartha P. Chakrabarty and Soumyendu Raha, "Progression, detection and remission: Evolution of chronic myeloid leukemia using a three-stage probabilistic model", Journal of Applied Mathematics and Computing , vol.69 ,pp.1541-1558, [2023]
42. Suryadeepto Nag, Siddhartha P. Chakrabarty and Sankarshan Basu, "Single Event Transition Risk: A measure for long term carbon exposure", MethodsX , vol.10 ,pp.102001 [2023]
41. Siddhartha P. Chakrabarty and Suryadeepto Nag, "Risk measures and portfolio analysis in the paradigm of climate finance: A review", SN Business & Economics , vol.3 ,pp.69 [2023]
40. Devang Sinha and Siddhartha P. Chakrabarty, "A review of efficient Multilevel Monte Carlo algorithms for derivative pricing and risk management", MethodsX , vol.10 ,pp.102078 [2023]
39. Shreya Satija, Anindita Saha, Ashish Poonia and Siddhartha P. Chakrabarty, "Deterministic and stochastic models for Chronic Myelogenous Leukemia cellular populations in presence of immune response", Journal of Innovation Sciences and Sustainable Technologies , vol.3 (2) ,pp.79-98, [2023]
38. Suryadeepto Nag, Sankarshan Basu and Siddhartha P. Chakrabarty, "Modeling the commodity prices of base metals in Indian commodity market using a Higher Order Markovian approach", Journal of Quantitative Economics , vol.20 ,pp.159-171, [2022]
37. Sonjoy Pan and Siddhartha P. Chakrabarty, "Analysis of a reaction-diffusion HCV model with general cell-to-cell transmission function incorporating B cell activation", Mathematics and Computers in Simulation , vol.193 ,pp.431-450, [2022]
36. Ashish Poonia and Siddhartha P. Chakrabarty, "Two strains and drug adherence: An HIV model in the paradigm of community transmission", Nonlinear Dynamics , vol.108 ,pp.2767-2792, [2022]
35. Suryadeepto Nag and Siddhartha P. Chakrabarty, "Modeling the dynamics of COVID-19 transmission in India: Social distancing, regional spread and healthcare capacity", Journal of Biological Systems , vol.30 (3) ,pp.647-672, [2022]
34. Deb Narayan Barik and Siddhartha P. Chakrabarty, "Does limited liability reduce leveraged risk?: The case of loan portfolio management", Journal of Risk and Financial Management , vol.15 (11) ,pp.519 [2022]
33. Jatin Dhingra, Kartikeya Singh and Siddhartha P. Chakrabarty, "Leverage Ratio: An empirical study of the European banking system", Journal of Innovation Sciences and Sustainable Technologie , vol.2 (4) ,pp.197-210, [2022]
32. Mohammed Bilal Girach, Shashank Oberoi and Siddhartha P. Chakrabarty, "Is being `Robust' beneficial?: A perspective from the Indian market", Asia-Pacific Financial Markets , vol.28 ,pp.469-497, [2021]
31. Ankur Kanaujiya and Siddhartha P. Chakrabarty, "Pricing passport option using higher order compact scheme", Computational and Mathematical Methods , vol.3 (6) ,pp.e1204 [2021]
30. Kartik Sethi and Siddhartha P. Chakrabarty, "Modeling premiums of non-life insurance companies in India", Journal of Innovation Sciences and Sustainable Technologies , vol.1 (3) ,pp.221-237, [2021]
29. Sonjoy Pan and Siddhartha P. Chakrabarty, "Stochastic analysis of in-host HCV dynamics through budding and bursting process", Communications in Nonlinear Science and Numerical Simulation , vol.80 ,pp.104955 [2020]
28. Sonjoy Pan and Siddhartha P. Chakrabarty, "Hopf bifurcation and stability switches induced by humoral immune delay in hepatitis C", Indian Journal of Pure and Applied Mathematics , vol.51 (4) ,pp.1673-1695, [2020]
27. Shrey Jain and Siddhartha P. Chakrabarty, "Does Marginal VaR lead to improved performance of managed portfolios: A study of S&P BSE 100 and S&P BSE 200", Asia-Pacific Financial Markets , vol.27 ,pp.291-323, [2020]
26. Sonjoy Pan, Soumyendu Raha and Siddhartha P. Chakrabarty, "A quantitative study on the role of TKI combined with Wnt/beta-catenin signaling and IFN-alpha in the treatment of CML through deterministic and stochastic approaches", Chaos, Solitons and Fractals , vol.133 ,pp.109627 [2020]
25. Shashank Oberoi, Mohammed Bilal Girach and Siddhartha P. Chakrabarty, "Can robust optimization offer improved portfolio performance? An empirical study of Indian market", Journal of Quantitative Economics , vol.18 ,pp.611-630, [2020]
24. Ankur Kanaujiya and Siddhartha P. Chakrabarty, "Valuation of American passport option using a three time level scheme", Computational and Applied Mathematics , vol.38 ,pp.article. 30 [2019]
23. Dinesh Kumar and Siddhartha P. Chakrabarty, "A predator-prey model with additional food supply to predators: Dynamics and applications", Computational and Applied Mathematics , vol.37 (1) ,pp.763-784, [2018]
22. Kalyan Manna and Siddhartha P. Chakrabarty, "Combination therapy of pegylated interferon and lamivudine and optimal controls for chronic hepatitis B infection", International Journal of Dynamics and Control , vol.6 (1) ,pp.354-368, [2018]
21. Sonjoy Pan and Siddhartha P. Chakrabarty, "Threshold dynamics of HCV model with cell-to-cell transmission and a non-cytolytic cure in the presence of humoral immunity ", Communications in Nonlinear Science and Numerical Simulation , vol.61 ,pp.180-197, [2018]
20. Kalyan Manna and Siddhartha P. Chakrabarty, "Dynamics and analysis of a model for chronic hepatitis B infection", Journal of Interdisciplinary Mathematics , vol.20 (2) ,pp.339-355, [2017]
19. Kalyan Manna and Siddhartha P. Chakrabarty, "Global stability of one and two discrete delay models for chronic hepatitis B infection with HBV DNA-containing capsids", Computational and Applied Mathematics , vol.36 (1) ,pp.525-536, [2017]
18. Dinesh Kumar and Siddhartha P. Chakrabarty, "Additional food induced Turing patterns for a diffusive predator-prey model", International Journal of Applied and Computational Mathematics , vol.3 (1 ) ,pp.165-183, [2017]
17. Ankur Kanaujiya and Siddhartha P. Chakrabarty, "Pricing European passport option with radial basis function", International Journal of Applied and Computational Mathematics , vol.3 (3) ,pp.1589-1604, [2017]
16. Ankur Kanaujiya and Siddhartha P. Chakrabarty, "Pricing and estimates of Greeks for passport option: A three time level approach", Journal of Computational and Applied Mathematics , vol.315 ,pp.49-64, [2017]
15. Dinesh Kumar and Siddhartha P. Chakrabarty, "Optimal control of pest by supply of additional food to predators in a predator-prey system", Journal of Advanced Research in Dynamical and Control Systems , vol.7 (1) ,pp.56-65, [2015]
14. Lavleen Goyal and Siddhartha P. Chakrabarty, "Empirical estimation of market parameters for Indian indices using jump-diffusion models", Journal of Advanced Research in Applied Mathematics , vol.2 (2) ,pp.40-51, [2015]
13. Dinesh Kumar and Siddhartha P. Chakrabarty, "A comparative study of bioeconomic ratio-dependent predator-prey model with and without additional food to predators", Nonlinear Dynamics , vol.80 (1–2) ,pp.23-38, [2015]
12. Kalyan Manna and Siddhartha P. Chakrabarty, "Chronic hepatitis B infection and HBV DNA-containing capsids: Modeling and analysis", Communications in Nonlinear Science and Numerical Simulation , vol.22 (1-3) ,pp.383-395, [2015]
11. Kalyan Manna and Siddhartha P. Chakrabarty, "Global stability and a non-standard finite difference scheme for a diffusion driven HBV model with capsids", Journal of Difference Equations and Applications , vol.21 (10) ,pp.918-933, [2015]
10. Gaurav Pachpute and Siddhartha P. Chakrabarty, "Dynamics of hepatitis C under optimal therapy and sampling based analysis", Communications in Nonlinear Science and Numerical Simulation , vol.18 (8) ,pp.2202-2212, [2013]
9. Tanvi Rai and Siddhartha P. Chakrabarty, "Pricing Asian call option with average strike using a non-uniform grid", Journal of Interdisciplinary Mathematics , vol.16 (2-3) ,pp.191-191, [2013]
8. Siddhartha P. Chakrabarty and Zongwu Zhu, "Optimal portfolio and consumption subject to multidimensional economic factors", Optimal Control Applications and Methods , vol.33 (1) ,pp.23-31, [2012]
7. Siddhartha P. Chakrabarty and John M. Murray, "Modelling hepatitis C virus infection and the development of hepatocellular carcinoma", Journal of Theoretical Biology , vol.305 ,pp.24-29, [2012]
6. Gaurav Pachpute and Siddhartha P. Chakrabarty, "Analysis of hepatitis C viral dynamics using Latin hypercube sampling ", Communications in Nonlinear Science and Numerical Simulation , vol.17 (12) ,pp.5125-5130, [2012]
5. Abhishek Kumar, Ashwin Waikos and Siddhartha P. Chakrabarty, "Pricing of average strike Asian call option using numerical PDE methods", International Journal of Pure and Applied Mathematics , vol.76 (5) ,pp.709-725, [2012]
4. Siddhartha P. Chakrabarty and Sandip Banerjee, "A control theory approach to cancer remission aided by an optimal therapy", Journal of Biological Systems , vol.18 (1) ,pp.75-91, [2010]
3. Siddhartha P. Chakrabarty and Hem Raj Joshi, "Optimally controlled treatment strategy using interferon and ribavirin for hepatitis C ", Journal of Biological Systems , vol.17 (1) ,pp.97-110, [2009]
2. Siddhartha P. Chakrabarty and Floyd B. Hanson, " Distributed parameters deterministic model for treatment of brain tumors using Galerkin finite element method", Mathematical Biosciences , vol.219 (2) ,pp.129-141, [2009]
1. Siddhartha P. Chakrabarty, "Optimal efficacy of ribavirin in the treatment of hepatitis C", Optimal Control Applications and Methods , vol.30 (6) ,pp.594-600, [2009]
10. Aadi Gupta, Priya Gulati and Siddhartha P. Chakrabarty, "Classification based credit risk analysis: The case of Lending Club", Lecture Notes in Networks and Systems [2024]
9. Siddhartha P. Chakrabarty, Deb Narayan Barik and Devang Sinha, "Mathematical finance: Pedagogical perspectives and opportunities", Trends in Teaching-Learning Experience ,pp.113-119, [2023]
8. Rakshit Tiwari and Siddhartha P. Chakrabarty, "Empirical models for premiums and clustering of insurance companies: A data-driven analysis of the insurance sector in India", Springer Proceedings in Complexity: Nonlinear Dynamics and Applications ,pp.1299-1309, [2022]
7. Dipankar Mondal and Siddhartha P. Chakrabarty, "Progression of COVID-19 outbreak in India, from pre-lockdown to post-lockdown: A data-driven statistical analysis", Springer Proceedings in Complexity: Nonlinear Dynamics and Applications ,pp.1389-1398, [2022]
6. Gaurav Pachpute and Siddhartha P. Chakrabarty, "Stochastic analysis and bounds on noise for a Holling type-II model", Springer Proceedings in Mathematics and Statistics, Applied Mathematics Series ,pp.125-139, [2015]
5. Siddhartha P. Chakrabarty, "Pricing of path-dependent European-type options using Monte Carlo simulation", Springer Proceedings in Mathematics and Statistics, Industrial and Applied Mathematics Series ,pp.99-106, [2015]
4. Siddhartha P. Chakrabarty and Malay Banerjee, "Periodic optimal efficacy in a combination treatment of HIV", Proceedings of the Second International Conference on Advances in Control and Optimization of Dynamical Systems (ACODS 2012) [2012]
3. Siddhartha P. Chakrabarty and Floyd B. Hanson, "Cancer drug delivery in three dimensions for a distributed parameter control model using finite elements", Proceedings of the 45th IEEE Conference on Decision and Control ,pp.2088-2093, [2006]
2. Siddhartha P. Chakrabarty and Floyd B. Hanson, "Optimal control of drug delivery to brain tumors for a test of PDE driven models using the Galerkin finite element method", Proceedings of the 44th IEEE Conference on Decision and Control, and the European Control Conference 2005 ,pp.1613-1618, [2005]
1. Siddhartha P. Chakrabarty and Floyd B. Hanson, "Optimal control of drug delivery to brain tumors for a distributed parameters model", Proceedings of the 2005 American Control Conference ,pp.973-978, [2005]
PostDoc Fellow
| 1 | Dr. Anupam Khatua (IPDF) |
Research Scholars
| 1 | Ashish Poonia |
| 2 | Deb Narayan Barik |
| 3 | Devang Sinha |
| 1 | Dinesh Kumar |
| 2 | Kalyan Manna |
| 3 | Ankur Kanaujiya |
| 4 | Sonjoy Pan |
External Research Scholars
| 1 | Amit Das |
| 1. Stochastic Models for Chronic Myeloid Leukemia
|
| 2. Mathematical and Statistical Modeling of COVID-19 Outbreak in India
|
No Project Available!
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1. Agniv Bandyopadhyay Secures Rank 1 In GATE 2021 (Mathematics) new
2021-03-19 |
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2. Professor Siddhartha Pratim Chakrabarty Has Been Selected For The "Scholarship Scheme For Faculty Members From Academic Institutions - 2020" Of The Reserve Bank Of India. new
2020-12-01 |
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3. Prof. Chakrabarty elected to the Governing Body of Indian Finance Association
2024-01-17 |
