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| Research Areas |
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Computational Finance, Numerical Methods, Data Driven Approaches |
| Courses taught at IITP |
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| Professional Experience |
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- Assistant Professor, August 2019 - November, 2022, IIIT Naya Raipur, Chhattisgarh, India.
- Postdoctoral Fellow, November 2018- July 2019, IISER Pune, India.
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| Awards & Honours |
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- 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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| Member of Professional bodies |
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- Indian Mathematical Society, ACM, SIAM, IEEE.
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| Projects |
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Funded Projects:
- Role: Co-PI
- Title: Theory and Computation of Option Price & Optimal Portfolio Under Regime Switching Market Models”
- Funded by: DST & DAAD
- Duration: June 2021-May 2023.
- PI from India: Dr. Anindya Goswami (IISER Pune)
- German PI: Prof. Thomas Kruse, Justus Liebig University, Germany
- German Co-PI: Prof. Ludger Overbeck, Justus Liebig University, Germany
Fellowships:
- 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:
- 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:
- 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:
- 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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| Workshops/Conferences/FDPs Organized |
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As Coordinator:
- 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-Coordinator:
- 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.
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