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Scopus Author ID: 57199045758

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Employment (1)

Indian Institute of Science: Bangalore, IN

Assistant Professor (Management Studies)
Employment
Source: Self-asserted source
Shashi Jain

Works (17)

Machine Learning-Based Digital Twin for Water Distribution Network Anomaly Detection and Localization

2024-10-21 | Conference paper
DOI: 10.3390/engproc2024069201
Contributors: Prerna Pandey; Nikolaj T. Mücke; Shashi Jain; Parthasarathy Ramachandran; Sander M. Bohté; Cornelis W. Oosterlee
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A Semi-Static Replication Method for Bermudan Swaptions under an Affine Multi-Factor Model

Risks
2023-09-26 | Journal article
DOI: 10.3390/risks11100168
Contributors: Jori Hoencamp; Shashi Jain; Drona Kandhai
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A Two-Stage Model for Data-Driven Leakage Detection and Localization in Water Distribution Networks

Water
2023-07-27 | Journal article
DOI: 10.3390/w15152710
Contributors: Vineet Tyagi; Prerna Pandey; Shashi Jain; Parthasarathy Ramachandran
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A Probabilistic Digital Twin for Leak Localization in Water Distribution Networks Using Generative Deep Learning

Sensors
2023-07-05 | Journal article
DOI: 10.3390/s23136179
Contributors: Nikolaj T. Mücke; Prerna Pandey; Shashi Jain; Sander M. Bohté; Cornelis W. Oosterlee
Source: check_circle
Crossref
grade
Preferred source (of 2)‎

Method of Lines for Valuation and Sensitivities of Bermudan Options

Computational Economics
2022-11-17 | Journal article
DOI: 10.1007/s10614-022-10339-2
Contributors: Purba Banerjee; Vasudeva Murthy; Shashi Jain
Source: check_circle
Crossref

Shallow Neural Hawkes: Non-parametric kernel estimation for Hawkes processes

Journal of Computational Science
2022-09 | Journal article
DOI: 10.1016/j.jocs.2022.101754
Contributors: Sobin Joseph; Lekhapriya Dheeraj Kashyap; Shashi Jain
Source: check_circle
Crossref

BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems

International Journal of Computer Mathematics
2019 | Journal article
DOI: 10.1080/00207160.2018.1544368
EID:

2-s2.0-85057570384
Contributors: von Sydow, L.; Milovanović, S.; Larsson, E.; In't Hout, K.; Wiktorsson, M.; Oosterlee, C.W.; Shcherbakov, V.; Wyns, M.; Leitao, A.; Jain, S. et al.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Can machine learning-based portfolios outperform traditional risk-based portfolios? The need to account for covariance misspecification

Risks
2019 | Journal article
DOI: 10.3390/risks7030074
EID:

2-s2.0-85069923150
Contributors: Jain, P.; Jain, S.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

Journal of Computational Science
2019 | Journal article
DOI: 10.1016/j.jocs.2019.03.001
EID:

2-s2.0-85065248100
Contributors: Jain, S.; Leitao, Á.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method

Applied Mathematical Finance
2016 | Journal article
DOI: 10.1080/1350486X.2016.1226144
EID:

2-s2.0-84984865038
Contributors: Karlsson, P.; Jain, S.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Efficient computation of exposure profiles on real-world and risk-neutral scenarios for bermudan swaptions

Journal of Computational Finance
2016 | Journal article
DOI: 10.21314/JCF.2017.337
EID:

2-s2.0-84993944722
Contributors: Feng, Q.; Jain, S.; Karlsson, P.; Kandhai, D.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks

Applied Mathematics and Computation
2015 | Journal article
DOI: 10.1016/j.amc.2015.07.085
EID:

2-s2.0-84939157009
Contributors: Jain, S.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Decision-support tool for assessing future nuclear reactor generation portfolios

Energy Economics
2014 | Journal article
DOI: 10.1016/j.eneco.2014.03.021
EID:

2-s2.0-84899503357
Contributors: Jain, S.; Roelofs, F.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Construction strategies and lifetime uncertainties for nuclear projects: A real option analysis

Nuclear Engineering and Design
2013 | Journal article
DOI: 10.1016/j.nucengdes.2013.08.060
EID:

2-s2.0-84886233006
Contributors: Jain, S.; Roelofs, F.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Valuing modular nuclear power plants in finite time decision horizon

Energy Economics
2013 | Journal article
DOI: 10.1016/j.eneco.2012.11.012
EID:

2-s2.0-84874302882
Contributors: Jain, S.; Roelofs, F.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Pricing high-dimensional Bermudan options using the stochastic grid method

International Journal of Computer Mathematics
2012 | Journal article
DOI: 10.1080/00207160.2012.690035
EID:

2-s2.0-84862206551
Contributors: Jain, S.; Oosterlee, C.W.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Brownian dynamic simulation for the prediction of effective thermal conductivity of nanofluid

Journal of Nanoparticle Research
2009 | Journal article
DOI: 10.1007/s11051-008-9454-4
EID:

2-s2.0-63949084066
Contributors: Jain, S.; Patel, H.E.; Das, S.K.
Source: Self-asserted source
Shashi Jain via Scopus - Elsevier

Peer review (11 reviews for 7 publications/grants)

Review activity for Annals of operation research. (1)
Review activity for Computational economics. (3)
Review activity for Japan journal of industrial and applied mathematics. (1)
Review activity for Journal of computational and applied mathematics. (1)
Review activity for Journal of computational science. (2)
Review activity for Journal of Quantitative Economics. (2)
Review activity for Operational research. (1)
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