Research Interest : Currently, I'm a full-time research scholar in the Department of Mathematics , IIT Guwahati under the supervision of Prof. Natesan Srinivasan. My primary research interests lie in Computational and Mathematical Finance, Neural Networks, Machine Learning, Numerical Analysis, Differential Equations (ODE/PDE), Finite Element Method, Finite Difference Method.

Publications

1. Saurabh Bansal, S. Natesan, Richardson extrapolation technique for generalized Black–Scholes PDEs for European options, Computational and Applied Mathematics, 42(5) (2023), 238.

2. Saurabh Bansal, S. Natesan, A novel higher-order efficient computational method for pricing European and Asian options, Numerical Algorithms, (In Press).

3. Saurabh Bansal, S. Natesan, An Efficient Fourth-Order Numerical Scheme for Nonlinear Multi-Asset Option Pricing Problems, Mediterranean Journal of Mathematics, 21(7) (2024), 1-25.

4. Satyadev Badireddi, Saurabh Bansal, S. Natesan, Numerical Solution of Passport Option Pricing Problem with Polynomial Neural Networks, Computational Economics, (In Press).