Shashi Jain

Indian Institute of Science (IISc) - Deptartment of Management Studies

Indian Institute of Science

Bangalore

India

  • Indian Institute of Science (IISc) - Deptartment of Management Studies

SCHOLARLY PAPERS

10

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4,164

TOTAL CITATIONS
Rank 37,424

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Top 37,424

in Total Papers Citations

23

Scholarly Papers (10)

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1.

Can Machine Learning Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification

Number of pages: 21 Posted: 12 Jun 2019
Prayut Jain and Shashi Jain
Indian Institute of Science (IISc) and Indian Institute of Science (IISc) - Deptartment of Management Studies
Downloads 1,094 (43,896)
Citation 6

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Machine Learning for Portfolio, Covariance Misspecification, Superior Predictive Ability, NIFTY, National Stock Exchange (NSE)

2.

KVA, Mind Your P's and Q's!

Number of pages: 20 Posted: 11 Jun 2016 Last Revised: 22 Jan 2018
Shashi Jain, Patrik Karlsson and Drona Kandhai
Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com and University of Amsterdam
Downloads 681 (83,307)
Citation 1

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Capital Valuation Adjustment (KVA), Hedging KVA, Hybrid Measure Monte Carlo, Internal Model Method, Valuation Adjustments (XVA)

3.

Efficient Computation of Exposure Profiles on Real-World and Risk-Neutral Scenarios for Bermudan Swaptions

Number of pages: 28 Posted: 07 Jun 2016 Last Revised: 04 Jul 2016
Qian Feng, Shashi Jain, Patrik Karlsson, Drona Kandhai and Cornelis W. Oosterlee
Center for Mathematics and Computer Science (CWI), Indian Institute of Science (IISc) - Deptartment of Management Studies, drkarlsson.com, University of Amsterdam and Utrecht University - Faculty of Science
Downloads 545 (110,593)

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credit valuation adjustment, CVA, Bermudan swaption EE, PFE, risk-neutral measure, real-world measure

4.

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

Number of pages: 26 Posted: 14 Dec 2014 Last Revised: 01 Apr 2016
Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee
drkarlsson.com, Indian Institute of Science (IISc) - Deptartment of Management Studies and Utrecht University - Faculty of Science
Downloads 403 (158,516)
Citation 4

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Bermudan Swaptions, Credit Value Adjustment (CVA), Monte Carlo Simulation, Stochastic Grid Bundling Method (SGBM), XVA

5.

Pricing High-Dimensional American Options Using the Stochastic Grid Method

Number of pages: 31 Posted: 12 Dec 2010 Last Revised: 21 Feb 2012
Shashi Jain and Cornelis W. Oosterlee
Indian Institute of Science (IISc) - Deptartment of Management Studies and Utrecht University - Faculty of Science
Downloads 387 (165,910)

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American Options, High Dimensional, Stochastic Grid Method, Regression, Monte Carlo, SSAP, LSM, Bermudan, Gram Charlier

6.

The Stochastic Grid Bundling Method: Efficient Pricing of Bermudan Options and their Greeks

Number of pages: 32 Posted: 17 Jul 2013 Last Revised: 26 Oct 2014
Shashi Jain and Cornelis W. Oosterlee
Indian Institute of Science (IISc) - Deptartment of Management Studies and Utrecht University - Faculty of Science
Downloads 329 (198,319)
Citation 9

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Pricing American Options using Monte Carlo Methods, Greeks for Bermudan option, Monte Carlo methods for pricing Bermudan options

7.

Rolling Adjoints : Fast Greeks Along Monte Carlo Scenarios for Early-Exercise Options

Number of pages: 30 Posted: 29 Dec 2017
Shashi Jain, Alvaro Leitao Rodriguez and Cornelis W. Oosterlee
Indian Institute of Science (IISc) - Deptartment of Management Studies, University of Coruña - Department of Mathematics - M2NICA and Utrecht University - Faculty of Science
Downloads 258 (255,962)
Citation 2

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Greeks, Monte Carlo, MVA, Sensitivities Along Scenarios, Pathwise Greeks For American Options

8.

Neural Network for Pricing and Universal Static Hedging of Contingent Claims

Number of pages: 30 Posted: 12 Dec 2019
Vikranth Lokeshwar, Vikram Bhardawaj and Shashi Jain
affiliation not provided to SSRN, affiliation not provided to SSRN and Indian Institute of Science (IISc) - Deptartment of Management Studies
Downloads 200 (327,554)
Citation 1

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Neural network, Monte Carlo, Regress later, static hedging with options, American Monte Carlo

9.

Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model

Number of pages: 24 Posted: 27 May 2015 Last Revised: 01 Jun 2015
Patrik Karlsson, Shashi Jain and Cornelis W. Oosterlee
drkarlsson.com, Indian Institute of Science (IISc) - Deptartment of Management Studies and Utrecht University - Faculty of Science
Downloads 171 (377,564)

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Applied mathematical finance; Bermudan swaptions; Computational finance; Derivative pricing models; Interest rate modelling; LIBOR Market Model

10.

Precision Versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation

Number of pages: 36 Posted: 17 May 2023
Sumanjay Dutta and Shashi Jain
Indian Institute of Science and Indian Institute of Science (IISc) - Deptartment of Management Studies
Downloads 96 (593,334)

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