Indian Institute of Technology, Patna

Dr. Kuldip Singh Patel

Dr. Kuldip Singh Patel

Assistant Professor

Ph.D, IIT Delhi

                                Ph.D., IIT Delhi
M. Sc., IIT Delhi
                            

                                Ph: +91-6115-233 014
                            

                                kspatel[*AT]iitp.ac.in
                            

                                https://www.iitp.ac.in/~kspatel/
                            

Research Areas

Mathematical Finance Numerical Methods Machine Learning in Option Pricing

Courses taught at IIT P

MA430 (Numerical Analysis) MA225 (Probability & Random Process) MA101 (Mathematics-I) MA316 (Mathematical Statistics) MA426 (Probability & Statistics) MA002 (Preparatory Mathematics-II)

Current Sponsored Projects

Sr. No.	Title	Principal Investigator	Co-Principal Investigator	Duration	Sponsoring Agency	Cost	Status
1	NBHM Research Project: Theoretical and data driven fair pricing of American style exotic options in regime switching market model and computations, PI: Kuldip Singh Patel, Co-PI: Dr. Anindya Goswami (IISER Pune), October 2023- October 2026.
2	Theory and Computation of Option Price & Optimal Portfolio Under Regime Switching Market Models” Funded by DST & DAAD, June 2021-May 2023. PI from India: Dr. Anindya Goswami (IISER Pune) Co-PI: Kuldip Singh Patel, German PI: Prof. Thomas Kruse, Justus Liebig University, Germany.
3	SERB International Research Experience Fellowship (Awarded in May 2022): To visit the University of Mauritius to collaborate with Prof. Muddun Bhuruth on “High-Order Compact Schemes for Pricing Interest Rate Derivatives.

Professional Experience

Assistant Professor, November 2022 –Till Date, IIT Patna, Bihar, India. Assistant Professor, August 2019 - November, 2022, IIIT Naya Raipur, Chhattisgarh, India. Postdoctoral Fellow, November 2018- July 2019, IISER Pune, India

Awards & Honours

Inspection committee member for inspection of the proposed research center in Applied Mathematics in GEC Jagdalpur, Chhattisgarh.

Publications / Journals / Conferences

In Journals:
- Pradeep Kumar Sahu and Kuldip Singh Patel, High-order accurate variable time step compact schemes for pricing vanilla and exotic options, to appear in Journal of Applied Mathematics and Computing, 2024.
- Pradeep Kumar Sahu and Kuldip Singh Patel, High order method for variable coefficient integro-differential equations and inequalities arising in option pricing, International journal of numerical analysis and modeling, 20 (4), 538–556, 2023.
- Kumar Shubham, Vivek Tiwari, and Kuldip Singh Patel, Predictive learning methods to price European options using ensemble model and multi-asset data, International Journal of Artificial Intelligence and Tools, 32, 2023.
- Mani Mehra, Kuldip Singh Patel, and Ankita Shukla, Wavelet-optimized compact finite difference method for convection-diffusion equations, International Journal of Nonlinear Sciences and Numerical Simulation, 22, 353 − 372, 2021.
- Kuldip Singh Patel and Mani Mehra, Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients, Journal of Computational and Applied Mathematics, 380, 112963, 2020
- Kuldip Singh Patel and Mani Mehra, High-order compact finite difference scheme for pricing Asian option with moving boundary conditions, Differential Equation and Dynamical Systems, 27, 39 − 56, 2019.
- Kuldip Singh Patel and Mani Mehra, Fourth-order compact scheme for option pricing under the Merton’s and Kou’s jump-diffusion models, International Journal of Theoretical and Applied Finance, 21(4), 1850027, 2018.
- Kuldip Singh Patel and Mani Mehra, A numerical study of Asian option with high[1]order compact finite difference scheme, Journal of Applied Mathematics and Computing, 57, 467 − 491, 2018.
- Mani Mehra and Kuldip Singh Patel, Algorithm 986: A suite of compact finite difference schemes, ACM Transactions on Mathematical Software, 44, 1 − 31 2017.
- Kuldip Singh Patel and Mani Mehra, Fourth-order compact finite difference scheme for American option pricing under regime-switching jump-diffusion models, International Journal of Applied and Computational Mathematics, 3, 547 − 567, 2017.
Conferences Proceedings:
- Pradeep Kumar Sahu, Kuldip Singh Patel, and Ratikanta Behera, Three-Time Levels Compact Scheme for Pricing European Options under Regime Switching Jump-Diffusion Models, Lecture notes in Networks and Systems (Accepted), August-2023
- Kunal Bose, Kumar Shubham, Vivek Tiwari, Kuldip Singh Patel, Insect image semantic segmentation and identification using UNET and DeepLab V3+, ICT Infrastructure and Computing: Proceedings of ICT4SD 2022, 703-711, Springer Nature Singapore, 2022.
- Kuldip Singh Patel and Mani Mehra, Compact finite difference method for pricing Eu[1]ropean and American options under jump-diffusion models, Communications in Computer and Information Science (CCIS), vol 1345. Springer, 2020.
- Kuldip Singh Patel and Mani Mehra, High-order compact finite difference method for Black-Scholes PDE, Mathematical Analysis and its Applications, Springer Proceedings in Mathematics and Statistics, vol 143, 2015.
For complete list of publications, please visit following link: https://scholar.google.co.in/citations?user=5RG97_8AAAAJ&hl=en
- International Conference on Computational Sciences, Modelling, Computing and Soft Computing, September 10-12, 2020 Organized by NIT Calicut.
- Redefining the Role of Educator in Covid-19 Outbreak Era, Organized by Gujrat Technological University, May 2020, India.
- National Mathematics Day Organized by Indian Institute of Technology Bhilai, December 2019.
- National Conference on Mathematical Modelling, methods, and computation in Science and Engineering, (MMMCSE-2019), Organized by NIT Raipur, October 19-20, 2019.
- ICIAM-2019, Valencia Spain, July 15- July 19-2019
- International Conference on Recent Developments in Theory and Computation and Application of Differential Equations (ICRDTCADE-2019), Organized by South Asian University, New Delhi, January 21-23, 2019.
- Author workshop on How to Publish a Technical Paper, Organized by Central Library, IIT Delhi, September 2018, IIT Delhi, India.
- Indo-German workshop on Optimal Control, Inverse Problems and their applications, 07-09 February, 2018, Organized by Indian Institute of Technology Delhi, New Delhi, India.
- Workshop on analysis and PDE, 04-06 October, 2017, Leibniz University, Hannover, Germany.
- International conference on control, optimization and differential equations, 18-20 January 2017, Le Meridian Hotel, Putrajaya, Malaysia.
- International conference on recent advances in theoretical and computational partial differential equations with application, 05-09 December 2016, Organized by Panjab University, Chandigarh, India.
- Short term workshop on financial engineering, 23-27 May 2016, Organized by Indian Institute of Technology, Delhi, India.
- Advanced workshop on finite difference methods for differential equations, 13-17 March 2015, Organized by South Asian University, New Delhi, India.
- International conference on recent advances in mathematical analysis and its application, 21-23 December 2014, Organized by Indian Institute of Technology Roorkee, India.
- Workshop on orthogonal spline collocation methods for PDEs, 21-24 March 2014, Organized by South Asian University, New Delhi, India.
- International workshop on wavelets, frames and applications, 24-30 December 2014, Kirori Mal College, Organized by University of Delhi, New Delhi, India.

Presentations

Poster Presentations: Fourth order compact scheme for partial differential equations: Application in Finance, at Workshop on analysis and PDE, 04-06 October, 2017, Leibniz University, Hanover, Germany Theory and computation of solution to the multidimensional option price equation in a regime switching market, 9th International Congress on Industrial and Applied Mathematics, July 15-19 in Valencia, Spain. Invited Talks: Novel approach for the stability and robustness of compact schemes, 5th International Conference on Mathematical Techniques and Applications (ICMTA-2024) at SRM Institute of Science and Technology, January 04, 2024. Solving fractional differential equations using multi-fidelity noisy data through machine learning, IIIT Kurnool, India, December 15, 2023. Difference equation approach for matrix method stability of compact schemes to solve convection-diffusion equations, ICAM, Thapar Institute of Technology Patiala, India, September 28-30, 2023 Numerical methods for option pricing: Need and Challenges, 88th Annual Conference of the Indian Mathematical Society, An International Meet, Birla Institute of Technology, Mesra, Ranchi, India, December 27-30, 2022. Quality Research and Ethics: Competing with International Standards, ICFAI University Raipur, India, October 29, 2022. Numerical methods for option pricing problems, University of Mauritius, Mauritius, October 04, 2022. Numerical methods for option pricing: Need and challenges, IISER Pune, India, August 08, 2022. Writing and Publishing Papers on Top Class Journal, Central University of Bilaspur, India, May 31, 2022. Identification and Selection of Research Problem, Central University of Bilaspur, India, May 19, 2022. Application of Mathematics in Finance, Center for Basic Sciences, Pt Ravishankar Shukla University, Raipur, India, December 30, 2021. Wavelet based numerical method for PDEs arising in Finance, International Workshop on "Wavelets and its Applications: Image Processing, Data Science and PDEs (WAIDP-2021)", Manav Rachna University Faridabad, India, December 10, 2021. Compact scheme for space fractional advection–diffusion reaction equations with variable coefficients, Symposium on Fractional Differential Equations: Theory and Numerics, The 87th Annual Conference of the Indian Mathematical Society (IMS), India, December 4 – 7, 2021. Compact Finite Difference Method for Pricing European and American Options under Jump-Diffusion Models, International Conference om Computational Sciences, Modelling, Computing and Soft Computing, September 10-12, 2020 Organized by NIT Calicut. Role of Mathematics in Covid-19: Existing literature, Outcomes, and Challenges in various directions, May 14, 2020, ARSD College, University of Delhi, India. Contributed Talks: Numerical methods for option pricing: need and challenges, ICIAM 2023, Tokyo Japan, August 20-25, 2023. High-order compact finite difference schemes for option pricing problems, National Conference on “Mathematical Modelling, Methods and Computation in Science and Engineering (MMMCSE-2019)” at NIT Raipur, October 19-20, 2019. Compact finite difference method for pricing European and American options under jump-diffusion models, ICRDTCADE-January 21-23, 2019 at South Asian University, New Delhi. High order compact finite difference methods for option pricing under regime-switching jump-diffusion models, at International conference on control, optimization and differential equations, January 18-20, 2017, University Putra Malaysia, Putrajaya, Malaysia. Pricing of Asian options with high order compact finite difference method on a moving grid, Recent advances in theoretical and computational partial differential equations and applications, December 05-09, 2016, Punjab University, India. High-order compact schemes for Black-Sholes PDE, International conference on recent advances in mathematical analysis and its application, 21-23 December 2014, Organized by Indian Institute of Technology Roorkee, India.

The Institute

Dr. Kuldip Singh Patel