Chennai Mathematical Institute


3:30 pm
Stochastic Control for Finance: A Tutorial

Vijaysekhar Chellaboina
Risk and Finance Research Group, Innovations Lab, TCS, Hyderabad.


Fair pricing of financial products, hedging of portfolios, and risk mitigation are three fundamental problems in mathematical and computational finance. In this seminar, we will present a brief introduction to each of these three problems by formulating appropriate stochastic control problems. First part of the seminar will focus on the classical Black and Scholes framework for pricing and hedging of financial derivatives followed by an introduction to risk measures and their computation. The talk will conclude with a unified stochastic optimization based framework for pricing, hedging, and risk mitigation.

About the speaker:

Dr. Vijaysekhar Chellaboina is a Principal Scientist and Head of the Risk and Finance Research Group at the Innovations Lab at Tata Consultancy Services Hyderabad. He holds a B. Tech in Mechanical Engineering from the Indian Institute of Technology-Madras, Chennai (1991), M.S. in Mechanical Engineering from Florida Institute of Technology, Melbourne (1993), and a Ph.D. in Aerospace Engineering from Georgia Institute of Technology, Atlanta (1996). Prior to joining the TCS Innovation Labs in 2008, Dr. Chellaboina held faculty positions in Mechanical Engineering at the University of Missouri (1999-2004) and the University of Tennessee (2004-2008).

Dr. Chellaboina's current research interests include quantitative finance, risk minimization, applied stochastic processes, stochastic optimization. His broader research interests include control systems theory and its applications. He is a co-author of numerous articles and five books on the subjects of stability theory and control including Nonlinear Dynamical Systems and Control: A Lyapunov-Based Approach (co-authored by Professor W. M. Haddad, published in 2008 by Princeton University Press).

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