Shashi Jain

Indian Institute of Science

Shashi Jain is an Associate Professor in the Department of Management Studies at the Indian Institute of Science (IISc). His research centres on the computational and quantitative aspects of pricing and risk management for financial derivatives. Prior to his academic role, he gained industry experience as a front office quant at the XVA desk at ING.

Articles by Shashi Jain

Original research

Multiperiod static hedging of European options

The authors extend the approach of Carr and Wu (2014) to cover options over multiple short maturities and demonstrate a practical application of their proposed method.

25 Nov 2024