Shashi Jain
Source: https://mgmt.iisc.ac.in/shashi-jain/ Parent: https://cce.iisc.ac.in/leadership/
Shashi Jain
Associate Professor & Chair
Phone : +91-80-2293 2305 (O)\ E-mail: shashijain@iisc.ac.in
Research Interests:
Computational finance, Monte Carlo methods for derivate pricing, Financial risk management, Real Options.
Educational History
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Courses offered
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Awards / Honours / Affiliations
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Publications
- The stochastic grid bundling method: Efficient pricing of Bermudan options and their Greeks. S Jain, CW Oosterlee. Applied Mathematics and Computation 269, 412-431 (2015) (pdf)
- Pricing high-dimensional Bermudan options using the stochastic grid method. S Jain, CW Oosterlee. International Journal of Computer Mathematics 89 (9), 1186-1211 (2012) (pdf)