Publications
COMMUNICATED PAPERS:
5. Anupam Khatua and Siddhartha P. Chakrabarty, Outbreak or extinction of TB: Insights in presence of chemoprophylaxis using CTMC approach.
4. Eeshaan Dutta, Sarthak Diwan and Siddhartha P. Chakrabarty, ESG driven pairs algorithm for sustainable trading: Analysis from the Indian market.
3. Ashish Poonia and Siddhartha P. Chakrabarty, Dynamics of a multi-strain HIV/AIDS epidemic model with treatment and its adherence.
2. Deb Narayan Barik and Siddhartha P. Chakrabarty, Loan portfolio management and Liquidity Risk: The impact of limited liability and haircut.
1. Devang Shina and Siddhartha P. Chakrabarty, Multilevel Richardson-Romberg and importance sampling in derivative pricing.
PUBLISHED BOOK:
1. Siddhartha Pratim Chakrabarty and Ankur Kanaujiya, Mathematical Portfolio Theory and Analysis, Compact Textbooks in Mathematics, Birkhauser (A Springer Company), 2023.
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PUBLISHED/ACCEPTED PAPERS:
57. Namasi G. Sankar, Suryadeepto Nag, Siddhartha P. Chakrabarty and Sankarshan Basu, The Carbon Premium: Correlation or Causation? Evidence from S&P 500 Companies, Energy Economics, vol. 134, pp. 107635, 2024.
56. Siddhartha Pratim Chakrabarty, Fifty Years of Black-Scholes and the Quant Revolution: A Viewpoint, Artha, vol. 11, no. 3, pp. 14-20, 2023.
55. 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, vol. 32, no. 2, pp. 529-546, 2024.
54. Aadi Gupta, Priya Gulati and Siddhartha P. Chakrabarty, Classification based credit risk analysis: The case of Lending Club, To appear in "Lecture Notes in Networks and Systems”.
53. 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, no. 2, pp. 79-98, 2023.
52. Shashwat Mishra, Rishabh Raj and Siddhartha P. Chakrabarty, Green portfolio optimization: A scenario analysis and stress testing based novel approach for sustainable investing in the paradigm Indian markets, To appear in Encyclopedia of Monetary Policy, Financial Markets and Banking, Elsevier.
51. 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.
50. 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.
49. 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.
48. Jatin Dhingra, Kartikeya Singh and Siddhartha P. Chakrabarty, Leverage Ratio: An empirical study of the European banking system, Journal of Innovation Sciences and Sustainable Technologies, vol. 2, no. 4, pp. 197-210, 2022.
47. 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, no. 11, pp. 519, 2022.
46. 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.
45. Siddhartha P. Chakrabarty, Deb Narayan Barik and Devang Sinha, Mathematical finance: Pedagogical perspectives and opportunities, Trends in Teaching-Learning Experience, pp. 113-119, 2023.
44. 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, no. 3, pp. 647-672, 2022.
43. 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.
42. 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.
41. 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.
40. Kartik Sethi and Siddhartha P. Chakrabarty, Modeling premiums of non-life insurance companies in India, Journal of Innovation Sciences and Sustainable Technologies, vol. 1, no. 3, pp. 221-237, 2021.
39. 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.
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. Ankur Kanaujiya and Siddhartha P. Chakrabarty, Pricing passport option using higher order compact scheme, Computational and Mathematical Methods, vol. 3, no. 6, pp. e1204, 2021.
36. 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.
35. 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.
34. 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.
33. 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.
32. 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, no. 4, pp. 1673-1695, 2020.
31. 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.
30. Ankur Kanaujiya and Siddhartha P. Chakrabarty, Valuation of American passport option using a three time level scheme, Computational and Applied Mathematics, vol. 38, no. 2, article. 30, 2019.
29. 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.
28. 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, no. 1, pp. 354–368, 2018.
27. 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.
26. Ankur Kanaujiya and Siddhartha P. Chakrabarty, Pricing European passport option with radial basis function, International Journal of Applied and Computational Mathematics, vol. 3, no. 3, pp. 1589–1604, 2017.
25. 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, no. 1, pp. 763–784, 2018.
24. 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.
23. 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, no. 1 pp. 165–183, 2017.
22. 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, no. 10, pp. 918–933, 2015.
21. 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, no. 1, pp. 525–536, 2017.
20. 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, no. 1-3, pp. 383-395, 2015.
19. 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, no. 1–2, pp. 23–38, 2015.
18. 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, no. 2, pp. 40–51, 2015.
17. 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, no. 1, pp. 56–65, 2015.
16. Kalyan Manna and Siddhartha P. Chakrabarty, Dynamics and analysis of a model for chronic hepatitis B infection, Journal of Interdisciplinary Mathematics, vol. 20, no. 2, pp. 339–355, 2017.
15. 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.
14. Tanvi Rai and Siddhartha P. Chakrabarty, Pricing Asian call option with average strike using a non-uniform grid, Journal of Interdisciplinary Mathematics, vol. 16, no. 2-3, pp. 191–201, 2013.
13. 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, no. 8, pp. 2202–2212, 2013.
12. 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, no. 5, pp. 709–725, 2012.
11. 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, no. 12, pp. 5125–5130, 2012.
10. 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.
9. 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), Bengaluru, 8 pages, 2012.
8. Siddhartha P. Chakrabarty and Zongwu Zhu, Optimal portfolio and consumption subject to multidimensional economic factors, Optimal Control Applications and Methods, vol. 33, no. 1, pp. 23–31, 2012.
7. Siddhartha P. Chakrabarty and Sandip Banerjee, A control theory approach to cancer remission aided by an optimal therapy, Journal of Biological Systems, vol. 18, no. 1, pp. 75–91, 2010.
6. Siddhartha P. Chakrabarty, Optimal efficacy of ribavirin in the treatment of hepatitis C, Optimal Control Applications and Methods, vol. 30, no. 6, pp. 594–600, 2009.
5. 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, no. 2, pp. 129–141, 2009.
4. Siddhartha P. Chakrabarty and Hem Raj Joshi, Optimally controlled treatment strategy using interferon and ribavirin for hepatitis C, Journal of Biological Systems, vol. 17, no. 1, pp. 97–110, 2009.
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, San Diego, 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, Seville, 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, Portland, pp. 973-978, 2005.