K S Patel

Pre-prints:

• Anindya Goswami, Kuldip Singh Patel, Estimation of domain truncation error for a system of PDEs arising in option pricing, arXiv preprint arXiv:2401.15570, 2024.

• Anindya Goswami, Kuldip Singh Patel, Pradeep Kumar Sahu, A novel difference equation approach for the stability and robustness of compact schemes for variable coefficient pdes, arxiv.org/abs/2209.02873, 2023.

• Anindya Goswami, Kuldip Singh Patel, Matrix method stability and robustness of compact schemes for parabolic pdes, arxiv.org/abs/2201.05854, 2023

Journal Publications:

• 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 modelling, 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.

• Fourth order compact scheme for space fractional advection-diffusion reaction equations with variable coefficients, Kuldip Singh Patel, M Mehra, Journal of Computational and Applied Mathematics, 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, 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), 2018.

• Kuldip Singh Patel and Mani Mehra, A numerical study of Asian option with high-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, 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.

Conference 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, 697, Springer, 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 European and American options pricing under jump-diffusion model, Conference Proceedings in Communications in Computer and Information Science, 1345. Springer, 91-108, 2021

• 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 143, 2015

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.

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, ICIAM-2019, July 15-19, 2019, Valencia, Spain.

Conference/Workshops participated:

• Redefining the Role of Educator in Covid-19 Outbreak Era, Organized by Gujrat Technological University, May 2020, India.

• Author workshop on How to Publish a Technical Paper, Organized by Central Library, IIT Delhi, September 2018, IIT Delhi, India.

• Workshop on analysis and PDE, 04-06 October, 2017, Leibniz University, Hannover, Germany.

• 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.

• 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.

• National programme on differential equations: theory, computation and applications, May 14-June 2, 2012, organized by Indian Institute of Technology Delhi, India.