Voluntary Research
Project Lead-Research Activity 1 (June - Present)
- Modeled the price valuation function with two stochastic volatility models for a European options portfolio using MC simulations.
- Using control variate and Sobol sequences, & implementing parallelization to achieve high performance efficiency of the solver.
- Modeling Black-Scholes and Dupire's bi-dimensionality stochastic models for evaluating the valuation of European option products.
- Applied Transitional and Euler's simulation scheme for Black-Scholes and Dupire's stochastic model respectively.
- Acceleration using GPUs is focused upon.
- Completed relevant coursework related to stochastic calculus and probability in finance while referring to NPTEL courses by IITK and IITM professor.
- Referred to a book by Antoine Savine on "Modern Computational Finance."
- Sent for peer-review at the Quantitative and Mathematical Finance conference in May 2022 in Amsterdam (Abstract accepted).
Project Associate-Research Activity 2 (September - Present)
- Detecting binary droplet collision outcomes in interacting sprays by performing CNN-based model on high-speed microscopic images.
- Training the model to highlight the distribution of collision outcomes across a range of Weber numbers (1000-2000) for interacting sprays of water.
- Rounded-off CS231n lecture series on Convolutional Neural Networks for visual recognition by Stanford university.
