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 interest lies on Numerical Analysis, Differential Equation (ODE/PDE), Finite Element, Finite Difference Method, Computational Finance, Programming in MATLAB.

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.