Research Interests

Research

A few of my selected publications are:

Monte Carlo methods for pricing American options

• The stochastic grid bundling method: Efficient pricing of Bermudan options and their Greeks. S Jain, CW Oosterlee. Applied Mathematics and Computation 269, 412-431 (2015) (pdf)
• Pricing high-dimensional Bermudan options using the stochastic grid method. S Jain, CW Oosterlee. International Journal of Computer Mathematics 89 (9), 1186-1211 (2012) (pdf)

Investment decisions in nuclear power plants

• Construction strategies and lifetime uncertainties for nuclear projects: A real option analysis. S Jain, F Roelofs, CW Oosterlee. Nuclear Engineering and Design 265, 319-329 (2013) (pdf)
• Valuing modular nuclear power plants in finite time decision horizon. S Jain, F Roelofs, CW Oosterlee. Energy Economics 36, 625-636 (2013) (pdf)
• Decision-support tool for assessing future nuclear reactor generation portfolios. S Jain, F Roelofs, CW Oosterlee. Energy Economics 44, 99-112 (2014) (pdf)

Counter-party exposure management

• Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions. Q. Feng, S. Jain, P. Karlsson, B.D. Kandhai, and C.W. Oosterlee. Journal of Computational Finance, 20(1), pp.139-172 (2016). (pdf)
• Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method. P Karlsson, S Jain, CW Oosterlee. Applied Mathematical Finance 23 (3), 175-196 (2016). (pdf)