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Shashi Jain

Indian Institute of Science Bangalore (from arXiv:2310.01104, 2023) · ORCID · OpenAlex

23 papers in scope · 22 published · 1 on the econ.EM arXiv · 404 citations · h-index 11 (over the papers listed here)

Papers

(1 of 23)

Forecasting High Frequency Order Flow Imbalance using Hawkes Processes
published2025 · Computational Economics · first circulated 2024
with Aditya Nittur Anantha
Computational Economics
Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability
published2024 · Finance research letters · 2 citations
with Sumanjay Dutta
Finance research letters
A neural network based model for multi-dimensional non-linear Hawkes processes
published2024 · Journal of Computational and Applied Mathematics · 4 citations · first circulated 2023
with Sobin Joseph
Journal of Computational and Applied Mathematics
A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
published2024 · Quantitative Finance
with J. H. Hoencamp, B.D. Kandhai
Quantitative Finance
Multiperiod static hedging of European options
published2024 · The Journal of Computational Finance
with Purba Banerjee, Srikanth K. Iyer
The Journal of Computational Finance
Multi-period static hedging of European options
working paper2023 · arXiv
with Purba Banerjee, Srikanth K. Iyer
Paper profile arXiv arXiv:2310.01104
A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model
published2023 · Risks · 1 citations
with Jori Hoencamp, Drona Kandhai
Risks
Method of Lines for Valuation and Sensitivities of Bermudan Options
published2022 · Computational Economics · first circulated 2021
with Purba Banerjee, Vasudeva Murthy
Computational Economics
Explainable neural network for pricing and universal static hedging of contingent claims
published2021 · Applied Mathematics and Computation · 13 citations · first circulated 2019
with Vikranth Lokeshwar, Vikram Bharadwaj, Vikram Bhardawaj
Applied Mathematics and Computation
Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification
published2019 · Risks · 35 citations
with Prayut Jain
Risks
KVA, Mind Your P's and Q's!
published2019 · Wilmott · 4 citations · first circulated 2016
with Patrik Karlsson, Drona Kandhai
Wilmott
Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options
published2019 · Journal of Computational Science · 14 citations · first circulated 2017
with Álvaro Leitao, Cornelis W. Oosterlee
Journal of Computational Science
BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems
published2018 · International Journal of Computer Mathematics · 11 citations
with Lina von Sydow, Slobodan Milovanović, Elisabeth Larsson, Karel in’t Hout, Magnus Wiktorsson, Cornelis W. Oosterlee, Victor Shcherbakov, Maarten Wyns, Álvaro Leitao, Tinne Haentjens, Johan Waldén
International Journal of Computer Mathematics
Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
published2016 · Applied Mathematical Finance · 16 citations · first circulated 2014
with Patrik Karlsson, Cornelis W. Oosterlee
Applied Mathematical Finance
Fast and accurate exercise policies for Bermudan swaptions in the LIBOR market model
published2016 · International Journal of Financial Engineering · 4 citations · first circulated 2013
with Patrik Karlsson, Cornelis W. Oosterlee
International Journal of Financial Engineering
Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions
published2016 · The Journal of Computational Finance · 16 citations
with Qian Feng, Patrik Karlsson, Drona Kandhai, Cornelis W. Oosterlee
The Journal of Computational Finance
The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks
published2015 · Applied Mathematics and Computation · 79 citations · first circulated 2012
with Cornelis W. Oosterlee
Applied Mathematics and Computation
Decision-support tool for assessing future nuclear reactor generation portfolios
published2014 · Energy Economics · 19 citations
with F. Roelofs, Cornelis W. Oosterlee
Energy Economics
Construction strategies and lifetime uncertainties for nuclear projects: A real option analysis
published2013 · Nuclear Engineering and Design · 11 citations
with F. Roelofs, Cornelis W. Oosterlee
Nuclear Engineering and Design
Valuing modular nuclear power plants in finite time decision horizon
published2012 · Energy Economics · 15 citations
with F. Roelofs, Cornelis W. Oosterlee
Energy Economics
Pricing high-dimensional Bermudan options using the stochastic grid method
published2012 · International Journal of Computer Mathematics · 35 citations · first circulated 2010
with Cornelis W. Oosterlee
International Journal of Computer Mathematics
Sustainability issues for promotion of Jatropha biodiesel in Indian scenario: A review
published2011 · Renewable and Sustainable Energy Reviews · 60 citations
with Sunil Kumar, Alok Chaube
Renewable and Sustainable Energy Reviews
Critical review of jatropha biodiesel promotion policies in India
published2011 · Energy Policy · 65 citations
with Sunil Kumar, Alok Chaube
Energy Policy

Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.