![](https://www.iitp.ac.in/images/photo/ksp.jpg) |
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 |
|
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.
|