Mohammad Sarfraz
PhD Scholar | Department of Mathematics, IIT Delhi
Welcome Message:
Welcome to my academic profile! I am a PhD scholar specialization in stochastic modeling, machine learning, and their applications in finance and insurance. My research aims to bridge advanced mathematical theories with practical industry applications.
Key Expertise:
Machine learning techniques for financial applications (GPR, NN)
Stochastic modeling
Monte Carlo Simulations
PhD in Mathematics (2020 – 2025)
Indian Institute of Technology, Delhi.
Research Topic: Exploring Pricing Strategies using Markov Regime Switching Stochastic Models and Machine Learning Techniques for Insurance Contracts.
M.Sc. in Statistics (2016 – 2018)
Department of Statistics, University of Jammu.
B.Sc. (2012 – 2015)
Govt. PG College Rajouri, University of Jammu.
12th Standard (2010 – 2012)
JNV Kotranka, Rajouri, Jammu & Kashmir.
Research Interests:
Machine Learning for Financial Modeling
Stochastic Processes and Time Series
Statistical Inference and Econometrics
Monte Carlo Simulations
Variable Annuities and Insurance Contracts
Regime Switching Stochastic Models
Queuing Theory
Publications:
Published Articles:
Mohammad, S., Arunachalam, V., & Selvamuthu, D. (2024). Pricing variable annuity contract with GMAB guarantee under a regime switching local volatility model. Computational Economics.
DOI: 10.1007/s10614-024-10764-5
Communicated Articles:
Machine learning-driven valuation framework for variable annuities with guaranteed minimum benefits.
Market regime identification and variable annuity pricing: Impact of COVID-19 on the Indian stock market.
Systematic and investment risk impact on life insurance portfolios under regime-switching stochastic interest rate.
Machine Learning Experience:
Applied Gaussian Process Regression (GPR) and Neural Networks (NN) for pricing insurance contracts under stochastic interest rate and volatility models.
Conducted Monte Carlo simulations for pricing variable annuities.
Quantified longevity and investment risks using advanced machine learning algorithms.
Teaching Experience:
Teaching Assistant, IIT Delhi (2020 – Present)
Courses:
Introduction to Probability and Stochastic Processes
Stochastic Processes and its Applications
Financial Mathematics
Linear Algebra and Differential Equations
Projects:
Queuing Theory Virtual Lab (2022 – 2024)
Funded by the Ministry of Education, India.
Valuing Variable Annuities with Lifelong Guarantees (2020 – 2023)
Funded by the Department of Science and Technology, India
Skills:
Programming: Python, R, MATLAB, C++
Operating Systems: macOS, Windows, Linux
Software: LaTeX, MS Office, Excel
Soft Skills: Leadership, Teamwork, Analytical Thinking, Content Writing
Languages: English (Professional Fluency), Hindi (Native Fluency), Urdu (Native Fluency)
Contact Information:
Email: mohammad.sarfraz@maths.iitd.ac.in/ sarfrazch008@gmail
Google Scholar: []
LinkedIn: https://www.linkedin.com/in/sarfraz-kasana-92066b167/