Dr. Puneet Pasricha

ProfileImage: 
Designation: 
Assistant Professor
Department: 

Department of Mathematics,

Phone No. 01881232328

Room No. C-318, 3rd Floor, SAB building

 
Email: 
puneet.pasricha [@] iitrpr.ac.in
Biography: 
Puneet Pasricha is working as an Assistant Professor in the Department of Mathematics at IIT Ropar. Prior to this, he was a postdoctoral researcher at the Swiss Finance Institute, EPFL, Switzerland (February 2020- September 2023) and a visiting associate fellow at the School of Mathematics and Applied Statistics, University of Wollongong (February 2019 - December 2019). Puneet earned his PhD in 2018 and his Masters in Mathematics in 2014, both from IIT Delhi and a B.Sc. from Kurukshetra University in 2012. His research interests include stochastic modelling in finance, particularly derivative pricing and credit risk. He has recently developed an interest in machine learning applications in finance.
Areas of Research: 
Mathematical Finance, Machine Learning in Finance, Applied Probability, Stochastic Processes
Education: 
Ph.D., Indian Institute of Technology Delhi, India, 2018.
M.Sc. in Mathematics, Indian Institute of Technology Delhi, India, 2014.
Work Experience: 
Assistant Professor, Indian Institute of Technology Ropar, October 2023 - Till date
Scientific Collaborator, SFI, EPFL, Switzerland, February 2020 – September 2023
Visiting Associate Fellow, School of Mathematics and Applied Statistics, University of Wollongong, Australia, February 2019 – December 2019.
Selected Publications/Patents: 
  • He Xinjiang, Pasricha Puneet, Lu Tuantuan, and Lin Sha. "Vulnerable options with regime switching and stochastic liquidity." The Quarterly Review of Economics & Finance, Volume 98 (2024): 101930.
  • He Xinjiang, Pasricha Puneet, and Sha Lin. "Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles." Economic Modelling, Volume 139 (2024): 106839.
  • Pasricha Puneet, Dharmaraja Selvamuthu and Tardelli Paola. "Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes." OPSEARCH, 2024.
  • Pasricha, Puneet, and Xin-Jiang He. "A simple European option pricing formula with a skew Brownian motion." Probability in the Engineering and Informational Sciences 37, no. 4 (2023): 1029-1034.
  • Pasricha, Puneet, and Xin-Jiang He. "Exchange options with stochastic liquidity risk." Expert Systems with Applications 223 (2023): 119915.
  • Pasricha, Puneet, Dharmaraja Selvamuthu, and Selvaraju Natarajan. "A contagion process with self-exciting jumps in credit risk applications." Stochastics 95, no. 1 (2023): 79-98.
  • Pasricha, Puneet, Anubha Goel, and Song-Ping Zhu. "A closed-form pricing formula for catastrophe equity options." Probability in the Engineering and Informational Sciences 36, no. 4 (2022): 1103-1115.
  • Pasricha, Puneet, and Xin-Jiang He. "Skew-Brownian motion and pricing European exchange options." International Review of Financial Analysis 82 (2022): 102120.
  • Pasricha, Puneet, Song-Ping Zhu, and Xin-Jiang He. "A closed-form pricing formula for European options in an illiquid asset market." Financial Innovation 8, no. 1 (2022): 30.
  • Pasricha, Puneet, Dharmaraja Selvamuthu, and Paola Tardelli. "Hedging and utility valuation of a defaultable claim driven by Hawkes processes." Applied Stochastic Models in Business and Industry 38, no. 2 (2022): 334-352.
  • Pasricha, Puneet, Song-Ping Zhu, and Xin-Jiang He. "A closed-form pricing formula for European options with market liquidity risk." Expert Systems with Applications 189 (2022): 116128.
  • Sharma, Nitu, Puneet Pasricha, and Dharmaraja Selvamuthu. "Valuation of equity-indexed annuities under correlated jump–diffusion processes." Journal of Computational and Applied Mathematics 395 (2021): 113575.
  • Pasricha, Puneet, and Dharmaraja Selvamuthu. "A Markov regenerative process with recurrence time and its application." Financial Innovation 7, no. 1 (2021): 37.
  • Pasricha, Puneet, and Anubha Goel. "A closed-form pricing formula for European exchange options with stochastic volatility." Probability in the Engineering and Informational Sciences 36, no. 3 (2022): 606-615.
  • Pasricha, Puneet, Xiaoping Lu, and Song-Ping Zhu. "A note on the calculation of default probabilities in “Structural credit risk modeling with Hawkes jump–diffusion processes”." Journal of Computational and Applied Mathematics 381 (2021): 113037.
  • Pasricha, Puneet, and Anubha Goel. "Pricing power exchange options with hawkes jump diffusion processes." Journal of Industrial & Management Optimization 17, no. 1 (2021).
  • Pasricha, Puneet, Dharmaraja Selvamuthu, Guglielmo D’Amico, and Raimondo Manca. "Portfolio optimization of credit risky bonds: a semi-Markov process approach." Financial Innovation 6 (2020): 1-14.
  • Goel, Anubha, Puneet Pasricha, and Aparna Mehra. "Topological data analysis in investment decisions." Expert Systems with Applications 147 (2020): 113222.
  • Pasricha, Puneet, and Anubha Goel. "Pricing vulnerable power exchange options in an intensity based framework." Journal of Computational and Applied Mathematics 355 (2019): 106-115.
  • Pasricha, Puneet, and Dharmaraja Selvamuthu. "A Markov modulated dynamic contagion process with application to credit risk." Journal of Statistical Physics 175 (2019): 495-511.
  • D'Amico, Guglielmo, Selvamuthu Dharmaraja, Raimondo Manca, and Puneet Pasricha. "A review of non-Markovian models for the dynamics of credit ratings." Reports on Economics and Finance 5, no. 1 (2019): 15-33.
  • Dharmaraja, Selvamuthu, Puneet Pasricha, and Paola Tardelli. "Markov chain model with catastrophe to determine mean time to default of credit risky assets." Journal of Statistical Physics 169 (2017): 876-888.
  • Pasricha, Puneet, Dharmaraja Selvamuthu, and Viswanathan Arunachalam. "Markov regenerative credit rating model." The Journal of Risk Finance 18, no. 3 (2017): 311-325.