Drona's home page

Dr Drona Kandhai
Assistant Professor (0.2 fte), Section Computational Science, Faculty of Science, UvA
Kruislaan 403, 1098 SJ Amsterdam, The Netherlands
E-mail: B.D.kandhai@uva.nl

Head of Interest Rates Model Validations
CMRM Trading Quantitative Analytics, ING BANK

• Education & Research Interests

  • PhD in the field of Computational Physics obtained at the Section of Computational Science of the University of Amsterdam.
    Main topic of PhD research: Lattice-Boltzmann (LB) Methods for Fluid Mechanics.
    LB is a mesoscopic model for simulating hydrodynamics. There are two ways in which the model can be viewed:
    • As a space-time discretised solver of the discrete velocity Boltzmann transport equation;
    • As a cellular automaton model for physical transport phenomena.
    
    
  • During my PhD and post-doctoral research periods, I have focussed on the following subjects:
    • Theoretical study of Boundary Conditions and extensions to incorporate Local Grid Refinement in LB methods;
    • Application of LB methods to a wide variety of realistic applications stemming from Chemical Engineering and Bio-Fluid Mechanics, such as:
      Permeability characteristics of Disordered Fibrous Media, Hydrodynamic dispersion in porous media, Computational Fluid Dynamics of Static Mixer Reactors,
      Disperse Multi-phase Flows and Computational Hemodynamics.
    
    
  • My present work and research interests are in the field of Quantitative Finance. I am in particular interested in the following topics:
    • Microscopic Simulations of the Complex Behavior of Financial Markets.
    • Advancing Numerical and Simulation Methods for pricing financial derivatives.
    • Assessment and advancement of mathematical models used for the pricing and risk analysis of financial derivatives.

• Teaching

  • Guest Lecturer of Complex System Simulations.
  • Lecturer of Computational Finance.
  • For students with a very strong interest in the Computational Finance area, I offer the project based (6 ECTS) course Advanced Topics in Computational Finance.
  • Supervision of MSc Thesis Projects. See list of Finalized Projects.
  
  
• List of Publications.