Dr. Asad Ahmad (Associate Professor) in R.V. Institute of Technology Bijnor U.P. has a Ph.D. degree in 2012 in Applied Mathematics from H.N.B. Garhwal (Central) University Srinagar Uttrakhand on "Some Mathematical Models for Financial Problems".
Research Interest/Area:
| Mathematics | Volatility Forecasting | Mathematical Finance | Computer Languages | Software |
|---|---|---|---|---|
| Numerical Techniques | AR Model | Future and Option Pricing | Excel Macro VBA | Matlab |
| Finite Difference Method | EWMA Model | European/American FnO | JavaScript | Maple |
| Crank-Nicolson Scheme | GARCH Model | Call/Put | Python | Mathematica |
| Stability | EGARCH Model | With constant Volatility | PHP | Latex |
| Convergence and Consistency | GJR-GARCH Model | With Stochastic Volatility | SQL | R |
Participation in Conferences/Seminars:
- 1. A Variational Approach of Pulsatile Blood Flow through Stenosed Artery” National Seminar on Mathematics and Computer Science U.G.C Sponsored .Vol.1, S.D (P.G) college Muzaffarnagar 251001.
- 2. A Mathematical Models for Financial Derivative Call and Put Option Pricing” IInd Annual Conference of Indian Mathematical Society December 26-09-2005. Indian Institute of Technology Roorkee 247667.
- 3. An Introduction to Mathematical Finance: Derivative Market in India” in Mathematical Sciences and Technological Innovation Diffusion, Conducted by Indian Society of Mathematics and Mathematical Sciences (ISMAMS) Gorakhpur, Sponsored by: DST, CSIR and CSTUP, March 16-18, 2007, Gorakhpur U.P.
- 4. Forecasting performance of Various Volatility Models on Intra-day Equity Price in Indian Stock Market” in the National Conference on Recent Trends in the Advancement of Astronomy and Applied Mathematics, Organised by Department of Mathematics, SGRR (PG) College, Dehradun, Sponsored by: UGC, DST and UCOST, November 14-15, 2009, Dehradun Uttrakhand.
- 5. Evaluation of European Call Option with Alternative Stochastic Volatility Approach: Finite Difference Method” Pre-International Congress of Mathematicians 2010 Workshop, Organized by Department of Mathematics D.S.B. Campus, Kumaun University, Nainital, Sponsored by: Uttrakhand Science Education and Research Council (USERC), March 26-27, 2010, Nainital Uttrakhand.
- 6. Forecasting performance of GARCH Type Volatility Models: Indian Stock Market” in the National Conference on Nonlinear Analysis and Application, Organised by Department of Mathematics, H.N.B. Garhwal University, Campus Pauri, Uttarakhand, Sponsored by: National Board for Higher Mathematics, Uttarakhand Science Education and Research Council and H.N.B. Garhwal University, Srinagar June 5-7, 2010.
Research Papers in Journals:
Indian Journals:
- 1. “An Introduction to Mathematical Finance: Derivative Market in India" Journal of Graphic Era University Vol. 1. (2009) pp 75-78.
- 2. “Forecasting Performance of Various Volatility Models on Intra-day Equity Price in Indian Stock Market” Indian Journal of Finance Vol 6 No. 6. 2012 pp.21-29.
International Journals:
- 1. “Numerical Solution of Pricing of European Put Option with Stochastic Volatility” International Journal of Engineering, Vol.24 No. 2 June 2011. pp. 189-203.
- 2. “A Mathematical Model for American Call Option with Dividends and Variable Volatility” International Journal of Applied Mathematics and Mechanics 7(17): pp.46-60, 2011.
- 3. “Numerical Solution of Pricing of European Call Option with Dividends and Variable Volatility” Applied Mathematics and Computation 218, (11), 2012, pp. 6242–6250.