Dr. Chittaranjan Mishra

Profile Image: 
Name: 
Dr. Chittaranjan Mishra
Designation: 
Assistant Professor
Email: 
chittaranjan[AT]iitrpr.ac.in
Phone No. 24-2139
Room No. 232
Department: 
Mathematics
Biography: 

Dr. Chittaranjan Mishra is an Assistant Professor in the Department of Mathematics at IIT, Ropar. Prior to joining IIT Ropar, Dr. Chittaranjan Mishra was an Academic Researcher in the Department of Mathematics at University of Antwerp, Belgium, from where he graduated with Doctorate in Science – Mathematics, with specialization in Computational Finance. During his PhD, he was financially supported through the prestigious “Dehousse Mandaat” scholarship, which has resulted in several interesting research outputs that have immediate applications in real financial world. Besides publishing in reputed journals, he has also presented his results in several international conferences which have attracted attention from academicians as well as practitioners. In addition to his area of specialization in financial option pricing theory, Chittaranjan Mishra has scholarly interest in quantitative risk management. He has obtained financial grants in the past to attend several workshops and congresses (AFMathConf, Brussels; Winter Schools on Mathematical Finance in the Netherlands; NUS-Santander doctoral workshop on advanced financial risk management, Singapore, to name a few) and has been associated with eminent researchers in this field. Prior to his PhD, he had studied Master in Computational Finance at the Institute of Mathematics and Applications, Bhubaneswar and holds the top rank in his class.He also has a master’s degree in Mathematics from Utkal University and has qualified in CSIR-UGC NET.

Areas of Research: 
Mathematical Finance, Applications of computational methods in finance.
Investigation of stability of ADI schemes with applications to PDEs from finance.
Systemic risk.
GPU computing in finance.
Quantitative risk management within specific regulatory environment.
Education: 
PhD in Mathematics, University of Antwerp, Antwerp, Belgium, (2014).
Master in Computational Finance, Institute of Mathematics and Applications, Bhubaneswar, India,(2008).
MA in Mathematics, Utkal University, Vani Vihar, India, (2003).
BA (Honors) in Mathematics, M.P.C. College, Baripada, North Orissa University, India, (2001).
Work Experience: 
June, 2014 - till date: Assistant Professor, Department of Mathematics, IIT Ropar, India.
Oct, 2008 - May, 2014: Academic Researcher, University of Antwerp, Belgium.
May, 2004 - Sept, 2008: Teaching and Research Assistant, Institute of Mathematics and Applications, Bhubaneswar, India.
Selected Publications/Patents: 

1.  K.J. in 't Hout and C. Mishra: Stability of ADI schemes for multidimensional diffusion equations with mixed derivative terms. Appl. Numer. Math 74, 83-94(2013).

 2.  Chittaranjan Mishra: A stability result for the MCS scheme applied to 2D convection-diffusion equations with mixed derivative. AIP Conf. Proc. 1479, 2245-2248 (2012); doi: 10.1063/1.4756640 .

 3.  K.J. in 't Hout and C. Mishra: Stability of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term. Math. Comp. Simul. 81, 2540–2548 (2011). 

 4.  Karel in 't Hout and Chittaranjan Mishra: A stability result for the Modified Craig-Sneyd scheme applied to 2D and 3D pure diffusion equations. In: Numerical Analysis and Applied Mathematics, eds. T. E. Simos et. al., AIP Conf. Proc. 1281, 2029-2032 (2010). 

5. Abhijit Ghosh & Chittaranjan Mishra: A parallel cyclic reduction algorithm for pentadiagonal systems with application to a convection-dominated Heston PDE  Preprint