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Highest Academic Qualification
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- Ph.D., IIT Delhi
- M. Sc., IIT Delhi
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| Research Areas |
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Mathematical Finance Numerical Methods for Differential Equations, Machine Learning in Option Pricing |
Additional Responsibilities
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- Ph. D. Coordinator, Department of Mathematics, IIT Patna, January 2023- till date
- Chairman Sports, IIT Patna, June 2023-till date
- NSO Coordinator, IIT Patna, August 2023- till date
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| Courses taught at IITP |
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- MA101 (Mathematics-I)
- MA316 (Mathematical Statistics)
- MA426 (Probability & Statistics)
- MA002 (Preparatory Mathematics-II)
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| Professional Experience |
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- 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
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| No. of PhD Students |
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Ph.D.:
- Pradeep Kumar Sahu (Ongoing)
M.Sc.:
- Dipanjon Sen (Ongoing)
- Ravi Raj (Ongoing)
- Shubhadeep Das (Ongoing)
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| Review for various journals |
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- International Journal of Modern Physics C
- Sustainability
- Computational Economics
- International Journal of Bio-Mathematics
- Finance Research Letters
- International Journal of Theoretical and Applied Finance
- Financial Innovation
- American Institute of Physics
- Journal of Porous Media
- Fractal and Fractional
- Journal of Innovation Sciences and Sustainable Technologies
- Journal of Risk and Financial Management
- Computational and Mathematical Biophysics
- Chemical Engineering Communications
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| Awards & Honours |
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- Travel support by DST-SERB to attend ICIAM-2023, 20-25 August, 2023, Waseda University, Tokyo, Japan.
- Travel support by DST to attend Workshop on analysis and PDE, 04-06 October, 2017, Leibniz University, Hannover, Germany.
- Travel support by NBHM to attend ICIAM-2019, Valencia Spain, July 15- July 19-2019 (Partially availed).
- Travel support by ICIAM to attend ICIAM-2019, Valencia Spain, July 15- July 19-2019.
- Qualified GATE-2012 conducted by Government of India.
- Merit-cum-means scholarship during M.Sc. at Indian Institute of Technology Delhi from July 2010- June 2012.
- Qualified JAM-2010 conducted by IITs for admission to PG programs.
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| Visiting Positions |
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Visiting Researcher at University of Mauritius, Mauritius, August 2022-October 2022 (under SIRE Fellowship from SERB). |
| Member of Professional bodies |
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- Indian Mathematical Society (IMS),
- Association for Computing Machinery (ACM),
- Society of Industrial and Applied Mathematics (SIAM)
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| Projects |
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- 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.
- 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.
- 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.
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| Publications |
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In Journals:
- 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, November-2023 (https://doi.org/10.1142/S0218213023500343).
- 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
- 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
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| Presentations |
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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:
- Difference equation approach for matrix method stability of compact schemes to solve convection-diffusion equations, ICAM, Thapar Institute of Technology Patiala, 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, December 27-30, 2022.
- Quality Research and Ethics: Competing with International Standards, ICFAI University Raipur, October 2022.
- Numerical methods for option pricing problems, University of Mauritius, Mauritius, October 2022.
- Numerical methods in option pricing: Need and challenges, IISER Pune, India, August 2022.
- Writing and Publishing Papers on Top Class Journal, Central University of Bilaspur, May 2022.
- Identification and Selection of Research Problem, Central University of Bilaspur, May 2022.
- Application of Mathematics in Finance, Center for Basic Sciences, Pt Ravishankar Shukla University, Raipur (C.G.) on 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)" , 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), December 4 – 7, 2021.
- Role of Mathematics in Covid-19: Existing literature, Outcomes, and Challenges in various directions, May 14, 2020, ARSD College, University of Delhi, India.
- Compact Finite Difference Method for Pricing European and American Options under Jump-Diffusion Models, CSMCS 2020, September, 2020, NIT Calicut, India
Contributed Talks:
- 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-2017, University Putra Malaysia, Putrajaya, Malaysia.
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Session Chair and TPC member in Conferences/Workshop
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- Chaired a session in ICIAM-2023 in Tokyo, Japan.
- 4th International Conference on Soft Computing and its Engineering Applications (icSoftComp2022).
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| Workshops/Conferences/FDPs Organized |
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As Convener:
- A five days Online FDP on "Introduction to Financial Mathematics: exploring the machine learning approach for option pricing problems in stock market” 19-23 August, 2021, at IIIT Naya Raipur, funded by AICTE.
As Co- Convener:
- Instructional School for Mathematical Sciences (ISMS)-2023, organized at IIT Patna, supported by Govt. of Bihar, June 16-July 15, 2023.
- An International Conference on Technology, Research, and Innovation for Betterment of Society (TRIBES) at IIIT Naya Raipur, December 17 - 19, 2021
- The 2nd International online Workshop on Advanced Topics in Mathematics (IWATM) at IIIT Naya Raipur, India from October 08-12, 2021.
- An International online Workshop on Advanced Topics in Mathematics (IWATM) at IIIT Naya Raipur, India from October 01-05, 2020.
As Organizing Committee Member:
- A workshop on National Education Policy-2020 on October 10, 2023 at IIT Patna
- National Conference on Differential Equations (Theory, Method and Applications)" 17-19 March 2023, organized at Department of Mathematics IIT Patna.
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| Workshops & Conferences Participated: |
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- 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.
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