Rupak Chatterjee (rchatte1)

Rupak Chatterjee

Lecturer

Burchard 709
(201) 216-5099
(201) 216-5638

Research

• Quantum Machine Learning

• Mathematical Physics

1.C Gallaro, R Chatterjee , A Modular Operator Approach to Entanglement of Causally Closed Regions, International Journal of Theoretical Physics 61 (8) (2022)

2. R. Chatterjee and T Yu, Modular Operators and Entanglement in Supersymmetric Quantum Mechanics, Journal of Physics A: Mathematical and Theoretical 54 (20) (2021)

3. A Das and R. Chatterjee, Discrete Phase Space and Continuous Time Relativistic Quantum Mechanics II: Peano Circles, Hyper-Tori Phase Cells, and Fiber Bundles, Modern Physics Letters A 36 (35) (2021)

4. Q. Ding, R. Chatterjee, Y. Huang, and T. Yu, High-Dimensional Temporal Mode Propagation in a Turbulent Environment, Quantum Information and Computation 21 (3&4) (2021)

5. A. Sarma, R. Chatterjee, K. Gili and T.Yu, Quantum Unsupervised and Supervised Learning on Superconducting Processors, Quantum Information and Computation 20 (7&8) (2020)

6. D.W. Luo, H.Q. Lin, J.Q. You, L.A. Wu, R. Chatterjee, T. Yu, Geometric Decoherence in Diffusive Open Quantum Systems, Phys. Rev. A 100 (6), 062112, (2019).

7. S. Tudor, R. Chatterjee, L. Nguyen, Y. Huang, Quantum Systems for Monte Carlo Methods and Applications to Fractional Stochastic Processes, Physica A: Statistical Mechanics and its Applications, 534, 121901, (2019).

8. R. Chatterjee and T. Yu, Generalized Coherent States, Reproducing Kernels, and Quantum Support Vector Machines, Quantum Information and Computation, 17 (15&16), 1292 (2017).

9. R. Chatterjee and L. Takhtajan, Aspects of Classical and Quantum Nambu Mechanics" Letters in Mathematical Physics, 37(4), 475-482 (1996).

10. R. Chatterjee, Dynamical Symmetries and Nambu Mechanics, Letters in Mathematical Physics, 36(2), 117-126 (1996).

General Information

Stevens Industry Professor, Department of Physics 2018-Present

Stevens Industry Professor and Director, Financial Engineering 2012-2018

Citigroup, NY Director, Multi-Asset Quantitative Research 2005-2012

HSBC, NY Senior Vice President, Multi-Asset Research 2001-2005

CSFB, NY Vice President, Quantitative Risk Management 1999-2001

Barclays, NY Quantitative Analyst 1997-1999

Institutional Service

  • TEACHING ADVISORY BOARD Member

Selected Publications

Journal Article

  1. Chatterjee, R.. Discrete phase space and continuous time relativistic quantum mechanics I: Planck oscillators and closed string-like circular orbits. Modern Physics Letters A (20 ed., vol. 36).
  2. Chatterjee, R.; Yu, T. (2021). Modular operators and entanglement in supersymmetric quantum mechanics. Journal of Physics A: Mathematical and Theoretical (20 ed., vol. 54).
  3. Chatterjee, R.. Modular Operators and Entanglement in Supersymmetric Quantum Mechanics. Journal of Physics A: Mathematical and Theoretical (20 ed., vol. 54).
  4. Ding, Q.; Chatterjee, R.; Huang, Y.; Yu, T. (2021). Gigh-dimensional temporal mode propagation in a turbulent environment. Quantum Information and Computation (3-4 ed., vol. 21, pp. 233-254).
  5. Das, A.; Chatterjee, R.; Yu, T. (2020). Discrete phase space, relativistic quantum electrodynamics, and a non-singular Coulomb potential. Modern Physics Letters A (24 ed., vol. 35).
  6. Chatterjee, R.; Florescu, I.; Gobayani, P.. A comparative study of forecasting Corporate Credit Ratings using Neural Networks, Support Vector Machines, and Decision Trees. The North American Journal of Economics and Finance (vol. 54, pp. 101251).
  7. Chatterjee, R.; Das, A.; Yu, T.. Discrete Phase Space, Relativistic Quantum Electrodynamics, and a Non- Singular Coulomb Potential. Modern Physics Letters (24 ed., vol. 35, pp. 2050199).
  8. Chatterjee, R.; Yu, T.; Gili, K.; Sarma, A.. QUANTUM UNSUPERVISED AND SUPERVISED LEARNING ON SUPERCONDUCTING PROCESSORS. Quantum Information and Computation (7&8 ed., vol. 20, pp. 541-552).
  9. Sarma, A.; Chatterjee, R.; Gili, K.; Yu, T. (2020). Quantum unsupervised and supervised learning on superconducting processors. Quantum Information and Computation (7-8 ed., vol. 20, pp. 541-552).
  10. Zhao, H.; Chatterjee, R.; Lonon, T.; Florescu, I. (2019). Pricing Bermudan Variance Swaptions Using Multinomial Trees. The Journal of Derivatives (3 ed., vol. 26, pp. 22--34). Institutional Investor Journals Umbrella.
    https://jod.pm-research.com/content/26/3/22.
  11. Tudor, S. F.; Chatterjee, R.; Nguyen, L.; Huang, Y. (2019). Quantum systems for Monte Carlo methods and applications to fractional stochastic processes. Physica A: Statistical Mechanics and its Applications (vol. 534, pp. 121901).
    http://www.sciencedirect.com/science/article/pii/S037843711931115X.
  12. Luo, D. W.; Lin, H. Q.; You, J. Q.; Wu, L. A.; Chatterjee, R.; Yu, T. (2019). Geometric decoherence in diffusive open quantum systems. Physical Review A (6 ed., vol. 100).
  13. Cao, H.; Chatterjee, R.; Cui, Z. (2019). Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models. International Journal of Financial Engineering (03 ed., vol. 06, pp. 1950027). World Scientific Pub Co Pte Lt.
    http://dx.doi.org/10.1142/s2424786319500270.
  14. Chatterjee, R.; Cao, H.; Cui, Z.. Options Valuation and Calibration for Leveraged Exchange-Traded Funds with Heston-Nandi and Inverse Gaussian GARCH Models. International Journal of Financial Engineering (03 ed., vol. 6, pp. 1950027).
  15. Chatterjee, R.; Alos, E.; Tudor, S.; Wang, T.. Target Volatility Option Pricing in Lognormal Fractional SABR Model. Quantitative Finance (8 ed., vol. 19, pp. 1339-1356).
  16. Chatterjee, R.; Cui, Z.; Fan, J.; Liu, M. (2018). An efficient and stable method for short maturity Asian options. Journal of Futures Markets (12 ed., vol. 38, pp. 1470-1486). Wiley.
    http://dx.doi.org/10.1002/fut.21956.
  17. Chatterjee, R.; Cui, Z.; Fan, J.; Liu, M.. An Efficient and Stable Method for Short Maturity Asian OptionsJournal of Futures Markets (12 ed., vol. 38, pp. 1470-1486).
  18. Chatterjee, R.; Tudor, S.; Tydniouk, I.. On a New Parametrization Class of Solvable Diffusion Models and Transition Probability Kernels. Quantitative Finance (vol. 1-18).
  19. Zhao, H.; Zhao, Z.; Chatterjee, R.; Lonon, T.; Florescu, I. (2017). Pricing Variance, Gamma, and Corridor Swaps Using Multinomial Trees. The Journal of Derivatives (2 ed., vol. 25, pp. 7--21). Institutional Investor Journals Umbrella.
    https://jod.pm-research.com/content/25/2/7.
  20. Chatterjee, R.; Yu, T.. Generalized Coherent States, Reproducing Kernels, and Quantum Support Vector Machines. Quantum Information and Computation (15&16 ed., vol. 17).

Technical Report