Dr Chittaranjan Mishra to discuss “Fast pricing of multi-asset American options under jump-diffusion models”
In the next chapter of Departmental Seminars Series, Department of Mathematics, SRM University-AP, Andhra Pradesh welcomes Dr Chittaranjan Mishra, Department of Mathematics, Indian Institute of Technology Ropar, to deliver a lecture on “Fast pricing of multi-asset American options under jump-diffusion models” on March 24, 2021, at 3 pm.
Multi-asset American options are interesting in many ways, e.g., they give the holder the flexibility to exercise at any time up to maturity, allow for risk diversification and for us, these contracts are mathematically challenging to price due to the non-availability of a closed-form formula. When jumps are introduced to model underlying assets, one will be required to solve a partial integro-differential complementary problem (PIDCP) for pricing these contracts. In these cases, we find that computing sufficiently accurate option prices in real-time is extremely difficult. That is because the in hand PIDCP involves a multi-dimensional partial integro-differential equation with a non-local double integral term. Solving these multi-dimensional PIDCP by advanced numerical techniques, such as a customized finite difference method, is very time-consuming, as the corresponding discretization matrices are huge in size. More importantly, the integral approximation matrix is also dense, posing a serious challenge to handle storage memory. Many efficient techniques are proposed primarily to handle the double integral term. However, the required solving time is still not practicable for practitioners.
In our research, we exploit the amazing parallel architecture of modern graphics processing units (GPUs) to solve computationally expensive scientific problems. Nevertheless, resolving the problem at hand by employing a GPU is not straightforward. It requires one to overcome many bottlenecks, such as in. In this work, we have investigated these issues in order to achieve substantial speed-ups compared to a sequential FD implementation.
Mathematics enthusiasts are requested to avail this opportunity to listen to our distinguished speaker on March 24th, at 3 pm.
- Published in Departmental Events, Events, Math Events, Webinars
“Overcoming Procrastination!-Doing Vs Delay”- in conversation with Dr Smita Sharma
How many of you thought, “It’s just the beginning of the semester, there’s a lot of time to catch up with studies,” and then struggled with the syllabus before the exams? How many of you were frustrated with assignment submissions just because you did not start it on time? How many sleepless nights have you spent before taking the exams because the revision was due? We are sure that you all have experienced some kind of trouble because you put the work on hold. Admittedly, we all have a procrastinator within ourselves. We all love to postpone things a bit, allowing us some free time to enjoy ourselves. However, we often forget that all the work that is being piled up due to our procrastination will come back to us with a bitter consequence.
A student’s life is a time to learn the essential skills that are going to support them in their future professional and personal growth. Doing tasks on time has its own substantial benefits that are not only going to help you in your academic career but also in every sphere of life. Do you find it to be too difficult to learn?
Dr Smita Sharma is the ideal person who can enlighten you on how procrastination affects our thinking and behaviour. She will further guide you with the techniques to defeat it. Dr Smita, as you know, is your counsellor at SRM University-AP, and she will be available in an Interactive session with you on “Overcoming Procrastination!-Doing Vs Delay”. Join the session on March 27, 2021, at 4 pm.
- Published in Departmental Events, Events, Students Affairs Events, Webinars
Prof C Durga Rao receives a grant to enhance vaccine efficacy at a reduced cost
Prof C Durga Rao (Principal Investigator), Professor, Department of Biological Sciences, and Associate Dean, Sciences, Department of Biological Sciences, SRM University-AP, Andhra Pradesh has received a total outlay of Rs. 1,10,52,941/- from the Department of Biotechnology, Government of India, to work on the project titled “Understanding the molecular basis for the extreme differential level of expression of genes from human and animal rotaviruses in gene-transfected cells: Implications for improving the growth of human vaccine strains”. Using the grant, the professor will be spawning the appropriate facilities to perform cell culture and virus-related research at SRM University-AP.
Understanding how a virus overpowers the host resistance mechanisms and seizes the host cellular processes for its own growth is very challenging and is essential for the development of not only efficient viral vaccines but also for antiviral therapeutic strategies. Prof Durga Rao informs, “Rotavirus is the leading cause of severe and acute dehydrating diarrhoea in infants and children below 5 years of age. Efforts by us and Dr Bhan, former Secretary, Department of Biotechnology, Government of India, led to the discovery and development of the first made in India rotavirus vaccine, produced by Bharat Biotech, Hyderabad.”
In the earlier project, the professor Rao observed that while some human rotaviral proteins could be expressed at high levels when the cloned genes were introduced into mammalian cells, other proteins could not be expressed at detectable levels. However, the virus expresses copious amounts of all its proteins when it infects the cells. Prof Durga Rao further shares, “Within a few hours of infection, each virus employs several ploys in the infected cell to subvert the cellular defence and regulatory mechanisms and captures the host for its own progeny production.”
Based on the earlier observations, this project will advance to unravel the tricks employed by the virus, and viral transactions in the infected cells. The outcome of the project will have implications for genetically engineering the poorly growing human vaccine strains for their efficient growth in cell culture, leading to reduced cost of not only rotavirus vaccines, but also other viral vaccines.
- Published in News, Research News
Newsmakers: G Ram Dheeraj to recount the tale of his expedition to “Deo Tibba Peak (6001mts)”
G Ram Dheeraj, 2nd year, Civil Engineering, SRM University-AP, Andhra Pradesh voyaged to the summit of “Shetidhar Peak(5358mts)” and “Friendship Peak (5287mts)” prior to his recent successful trek to the “Deo Tibba Peak (6001mts), Manali, Himachal Pradesh”. DeoTibba is the second highest peak of the PirPanjal Mountains. Basking in the meadows, and glaciers, Dheeraj reached the mountain peak – an exceptional snow dome with a magnificent view.
A trek enthusiast, Dheeraj fancied adventure, mountaineering, seeing places, and embracing the serenity of nature. Bending barriers, he climbed the peak only to marvel at the picturesque view. He rejoiced being at a place traversed by a few. On April 3, 2021, at 4 PM, Department of Student Affairs, SRM University-AP invited Dheeraj to recount the thrilling tales of his expeditions. In the interactive session – “Newsmakers”, he will also share insights on his fitness regime, along with giving the audience a glimpse of his future trekking plans.
- Published in Events, Students Affairs Events