Shashi Jain

Computational methods in finance, Monte Carlo methods for derivative pricing, financial risk management, and real options analysis. Current focus includes interpretable machine learning and neural network frameworks for pricing, static hedging and counterparty credit risk management of high-dimensional contingent claims; semi-static replication methods for callable interest rate derivatives; and portfolio-level risk management using neural networks. Earlier research spans real option valuation for energy investment decisions, particularly modular nuclear power plants.

• Front Office Quant, XVA Desk, ING Bank — industry experience prior to joining IISc