Dr. Puneet Pasricha
Assistant Professor
- Department of Mathematics
- Indian Institute of Technology Ropar
- Rupnagar, Punjab - 140001, India
- Office: C-318, Third Floor, SAB building
- Email : puneet.pasricha@iitrpr.ac.in
Areas of Research:
Mathematical Finance
Machine Learning in Finance
Applied Probabilty
Stochastics Processes
Machine Learning in Finance
Applied Probabilty
Stochastics Processes
- Ph.D., Indian Institute of Technology Delhi, India, 2018.
- M.Sc. in Mathematics, Indian Institute of Technology Delhi, India, 2014.
- Assistant Professor, Indian Institute of Technology Ropar, October 2023 - Till date.
- Scientific Collaborator, SFI, EPFL, Switzerland, February 2020 – September 2023.
- Visiting Associate Fellow, School of Mathematics and Applied Statistics, University of Wollongong, Australia, February 2019 – December 2019.
- Pande, N. K., Pasricha P., Gupta, A. K. & Kumar, A. (2025). European Option Pricing in Regime Switching Framework via Physics-Informed Residual Learning. Expert Systems with Applications, Volume 288.
- He Xinjiang, Pasricha Puneet, Lu Tuantuan, Lin Sha (2024). Vulnerable options with regime switching and stochastic liquidity. The Quarterly Review of Economics & Finance, Volume 98.
- He Xinjiang, Pasricha Puneet, and Sha Lin (2024). Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. Economic Modelling, Volume 139.
- Pasricha Puneet, Dharmaraja Selvamuthu and Tardelli Paola (2024). Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes. OPSEARCH, Forthcoming.
- Pasricha Puneet and He Xinjiang (2023). Exchange options with stochastic liquidity risk. Expert Systems with Applications, Volume 223.
- Pasricha Puneet and He Xinjiang (2022). A simple European option pricing formula with a skew- Brownian motion. Probability in the Engineering and Informational Sciences, 37(4), 1029-1034
- Pasricha Puneet and He Xinjiang (2022). Skew-Brownian motion and pricing European exchange options. International Review of Financial Analysis, Volume 82.
- Pasricha Puneet, Dharmaraja Selvamuthu and Selvaraju Natarajan (2022). A contagion process with self-exciting jumps in credit risk applications. Stochastics: An International Journal Of Probability And Stochastic Processes, 95(1), 79-98.
- Pasricha Puneet, Zhu Song-Ping and He Xinjiang (2022). A closed-form pricing formula for European options in an illiquid asset market. Financial Innovation, 8 (30).
- Pasricha Puneet, Dharmaraja Selvamuthu and Tardelli Paola (2021). Hedging and utility valuation of a defaultable claim driven by Hawkes processes, Applied Stochastic Models in Business and Industry, 38(2), 334–352.
- Pasricha Puneet, Zhu Song-Ping and He Xinjiang (2021). A closed-form pricing formula for European options with market liquidity risk. Expert Systems with Applications, Volume 189.
- Pasricha Puneet, Goel Anubha and Zhu Song-Ping (2021). A closed-form pricing formula for pricing catastrophe equity options. Probability in the Engineering and Informational Sciences, 36(4), 1103-1115.
- Pasricha Puneet and Dharmaraja Selvamuthu (2021). Non-homogeneous Markov regenerative process with recurrence times and application in credit rating dynamics, Financial Innovation, 7(37).
- Sharma Nitu, Pasricha Puneet and Dharmaraja Selvamuthu (2021). Valuation Of equity-indexed annuities under correlated jump-diffusion processes, Journal of Computational and Applied Mathematics, Volume 395.
- Pasricha Puneet and Goel Anubha (2021). Pricing of power exchange options with Hawkes jump diffusion process. Journal of Industrial and Management Optimization, 17(1), 133-149.
- Pasricha Puneet and Goel Anubha (2021). A closed-form pricing formula European exchange options with stochastic volatility. Probability in the Engineering and Informational Sciences, 36(3), 606-615.
- Pasricha Puneet, Lu Xiaoping, Zhu Song-Ping (2021). A note on the calculation of default probabilities in “Structural credit risk modelling with Hawkes jump-diffusion processes”, Journal of Computational and Applied Mathematics, Volume 381.
- Pasricha Puneet, Dharmaraja Selvamuthu, D’Amico Guglielmo and Manca Raimondo (2020). Portfolio optimization of credit risky bonds: a semi-Markov process approach. Financial Innovation 6(1), 1-14.
- Goel Anubha, Pasricha Puneet, and Mehra Aparna (2020). Topological data analysis in investment decisions. Expert Systems with Applications, Volume 147.
- D’Amico Guglielmo , Dharmaraja Selvamuthu, Manca Raimondo, and Pasricha Puneet (2019). A review of non-Markovian models for the dynamics of credit ratings. Reports on Economics and Finance, Vol. 5 (1), 15–33.
- Pasricha Puneet and Dharmaraja Selvamuthu (2019). A Markov modulated dynamic contagion process with application to credit risk, Journal of Statistical Physics, 175(2), 495–511.
- Pasricha Puneet and Goel Anubha (2019). Pricing vulnerable power exchange options in an intensity based framework. Journal of Computational and Applied Mathematics, 355, 106–115.
- Dharmaraja Selvamuthu, Pasricha Puneet and Tardelli Paola (2017). Markov chain model with catastrophe to determine mean time to default of credit risky assets. Journal of Statistical Physics, 169(4), 876–888.
- Pasricha Puneet, Dharmaraja Selvamuthu and Arunachalam Viswanathan (2017). Markov regenerative credit rating model, Journal of Risk Finance, 18(3), 311–325.