Ramaprasad Bhar

I completed PhD in quantitative finance in 1997 from UTS on non-Markovian term structure of interest rate modelling. Prior to joining academia in 1992, I worked in System Software development for several years in various capacities in India, Australia, and The Netherlands. I studied computer science at the University of Waterloo, Canada with a scholarship from the Canadian Government. My industry experience includes multinational firms like Credit Lyonnais, Nederland and Unisys, U.S.A. I have published three research intensive books with Springer in 2004 and 2005 jointly with S. Hamori, Kobe University, Japan. I was awarded the fellowship of the Japan Society for the Promotion of Science in 2005. These two books have been adopted for some postgraduate courses at the Courant Institute of Mathematical Sciences, New York University, and University of Memphis. The third book on Stochastic Filtering (sole author) was published in August 2010.  My current research interests include commodity derivatives pricing in jump diffusion setting, spread option pricing using copulas among others.