S. Baskar

Department of Mathematics

Indian Institute of Technology Bombay

Welcome to my homepage.

I enjoy working in the mathematics of computation with emphasis on Hamilton-Jacobi type equations and hyperbolic conservation laws. My interests also extend to quantitative finance, where I mainly focus on the theoretical aspects and modern computational methods for option pricing models and hedging strategies. Recently, I have been attracted to the mathematical theory of deep learning architectures and their expressivity in function spaces with applications to physics and finance.

S. Baskar

I am presently working on the following topics:

  • Nonlinear Hyperbolic Phase-Transport System with Curvature
  • Deep Learning American Puts: A Neural Approach to Optimal Stopping and Option Pricing (through an industry project)

I am currently involved in the following teaching activities:

  • International Workshop at IITB: Quantitative Finance: From Stochastic Models to Deep Learning

    July 2026

  • MA5001: Mathematics of Deep Learning Architecture

    Autumn 2026–27

  • MA 110: Linear Algebra Part

    Spring 2026–27 (Jan–Feb)

Research Areas

Numerical Analysis of PDEs

  • Hyperbolic Conservation Laws
  • Hamilton-Jacobi Equations
  • Numerical Methods for Nonlinear Wave Propagation
  • Level Set Methods and Interface Dynamics
  • High-Frequency Wave Phenomena in Heterogeneous Media
  • Physics-Informed Neural Networks (PINNs) for Evolution PDEs
  • Operator Learning for PDEs

Mathematical Finance

  • Option Pricing Theory
  • Quantitative Modeling in Finance
  • Deep Learning Methods for Hedging and Portfolio Optimization
  • Machine Learning Approaches in Quantitative Finance
  • Computational Methods in Financial Mathematics

Ph.D. Students Supervised

Daisy Dahiya

Characteristic Fast Marching Method for the Generalized Eikonal Equation in a Moving Medium • 2013

Rakesh Kumar

B-Spline Quasi-Interpolation Based Numerical Methods for Some Evolution PDEs • 2016

Ram Murti

Weakly Nonlinear Ray Theory in Moving Media • 2018

Ramesh Mondal (Jointly with Prof. S. Sivaji Ganesh)

Quasi-Linear Parabolic Regularization to Scalar Conservation Laws • 2019

Akansha Agarwal

Construction of B-spline Quasi-Interpolation for Non-Smooth Functions and Applications • 2022

Postdoctoral Mentoring

Samala Rathan

Jan 2019 – July 2019

Harsita Srivastava

Oct 2025 – Present

Sponsored Research Projects

Fast Marching Method for Monotonically Propagating Fronts in an Inhomogeneous Moving Fluid

Principal Investigator • IRCC, IIT Bombay • 2006–2010

Characteristic Fast Marching Method for Fronts Propagating in an Inhomogeneous Moving Fluid

Principal Investigator • SERB, DST, Govt. of India • 2011–2015

Discontinuous Galerkin Methods for Nonlinear Acoustics

Principal Collaborator (India) • CEFIPRA • Collaborating Institution: Institut Jean Le Rond d’Alembert, Paris • 2011–2015

National Program on Differential Equations: Theory, Computation, and Applications

Co-Investigator • DST, Govt. of India • PI: Prof. A. K. Pani • 2012–2017

Shock Ray Theory in Inhomogeneous Moving Media

Principal Investigator • SERB MATRICS Scheme • 2018–2021

Deep Learning for American Puts: A Neural Approach to Optimal Stopping and Option Pricing

Principal Investigator • Citadel Securities Quantitative Research Lab • Co-PIs: Prof. Suresh Kumar & Prof. Harsha Hutridurga • March 2026–Present

Publications

Journal Articles

  1. Baskar, S. and Phoolan Prasad (2004), Riemann problem for kinematical conservation laws and geometrical features of nonlinear wavefronts. IMA Journal of Applied Mathematics, Vol 69, No 4, pp. 391–420.
  2. Baskar, S. and Phoolan Prasad (2005), Propagation of curved shock fronts using shock ray theory and comparison with other theories. Journal of Fluid Mechanics, Vol 523, pp. 171–198.
  3. Baskar, S. and Phoolan Prasad (2006), Formulation of the sonic boom problem by a maneuvering aerofoil as a one parameter family of Cauchy problems. Proceedings of the Indian Academy of Sciences, Mathematical Sciences, Vol 116, No 1, pp. 97–119.
  4. Baskar, S., Francois Coulouvrat and Regis Marchiano (2007), Nonlinear reflection of grazing acoustic shock waves: unsteady transition from von Neumann to Mach to Snell-Descartes reflections. Journal of Fluid Mechanics, Vol 575, pp. 27–55.
  5. Regis Marchiano, Francois Coulouvrat, Baskar, S., and Jean-Louis Thomas (2007), Experimental evidence of deviation from mirror reflection for acoustical shock waves. Phys. Rev. E 76, 056602.
  6. Dahiya, D., Baskar, S., and Coulouvrat, F. (2013), Characteristic fast marching method for monotonically propagating fronts in a moving medium. SIAM J. Scientific Computing, Vol 35, No 4, pp. A1880–A1902.
  7. Dahiya, D., Baskar, S. (2015), Characteristic fast marching method on triangular grids for the generalized eikonal equation in moving media. Wave Motion, Vol 59, pp. 81–93.
  8. Kumar, Rakesh and Baskar, S. (2016), B-spline quasi-interpolation based numerical methods for some Sobolev type equations. J. Comput. Appl. Math., Vol 292, pp. 41–66.
  9. Tripathi, Bharat B., Luca, Adrian, Baskar, S., Coulouvrat, François and Marchiano, Régis (2018), Element centered smooth artificial viscosity in discontinuous Galerkin method for propagation of acoustic shock waves on unstructured meshes. J. Comput. Phys., Vol 366, pp. 298–319.
  10. Tripathi, Bharat B., Baskar, S., Coulouvrat F., and Marchiano R. (2018), Numerical observation of secondary Mach stem in weak acoustic shock reflection. J. Acoust. Soc. Am., Vol 144(2): EL125.
  11. Murti, Ram and Baskar, S. (2019), Weakly nonlinear ray theory in inhomogeneous moving media filled with polytropic gases. Wave Motion, Vol 91, 102394, 12 pp.
  12. Kumar, Rakesh, Choudhary, Ashok and Baskar, S. (2020), Modified cubic B-spline quasi-interpolation numerical scheme for hyperbolic conservation laws. Appl. Anal., Vol 99, No 1, pp. 158–179.
  13. Mondal, Ramesh, Sivaji Ganesh, S., and Baskar, S. (2021), Quasilinear viscous approximations to scalar conservation laws. J. Math. Anal. Appl., Vol 502, No 2, Paper No. 125271, 29 pp.

Preprints

  1. Rakesh Kumar and S. Baskar (2018), Hybrid BSQI-WENO Based Numerical Scheme for Hyperbolic Conservation Laws. arXiv:1810.01126
  2. S. Akansha and S. Baskar (2021), Adaptive Padé-Chebyshev Type Approximation of Piecewise Smooth Functions. arXiv:2110.07173
  3. Murti, R., Srivastava, H., and Baskar, S. (In preparation), Geometrical Features of Shock Front Propagation in Anisotropic Polytropic Gases.
  4. Srivastava, H., Baskar, S., and Gowda, G. D. V. (In preparation), Conservative Discretization of a Nonlinear Hyperbolic Phase-Transport System with Curvature.

Conference Proceedings

  1. Baskar, S. and Phoolan Prasad (2003), Kinematical conservation laws applied to study geometrical shapes of a solitary wave, in Wind Over Waves II: Forecasting and Fundamentals of Applications, ed. S. Sajjadi and J. Hunt, pp. 189–200.
  2. Baskar, S. and Phoolan Prasad (2005), Kinematical conservation laws, ray theories and application to sonic boom, Proceedings of the 10th International Conference on Hyperbolic Problems, Yokohama Publishers.
  3. Baskar, S., Murti, R., and Prasad, P. (2018), Kinematical conservation laws in inhomogeneous media. Theory, Numerics and Applications of Hyperbolic Problems II, Springer Proc. Math. Stat., 237, pp. 349–361, Springer, Cham.

Conference Talks (Selected)

  1. Baskar, S. and Phoolan Prasad (2005), Calculation of the front part of the sonic boom signature for a maneuvering airfoil, 17th International Symposium on Nonlinear Acoustics, Penn State University, July 2005.
  2. Baskar, S., Francois Coulouvrat and Regis Marchiano (2005), Irregular reflection of acoustical shock waves and von Neumann paradox, 17th International Symposium on Nonlinear Acoustics, Penn State University, July 2005.
  3. Baskar, S. and Dahiya, D. (2016), Stable Higher Order Numerical Method for Anisotropic Eikonal Equation in Moving Media, 16th International Conference on Hyperbolic Problems: Theory, Numerics, Applications, August 2016.
  4. Baskar, S., Murty, R., and Prasad, P. (2018), Kinematical Conservation Laws: A Geometric Approach to Wave Propagation, 12th AIMS International Conference, National Taiwan University, July 2018.
  5. Baskar, S., Murty, R., and Gowda, G. D. V. (2020), Geometric Approach to Weakly Nonlinear High-Frequency Waves, National Conference on PDEs and Applications, Periyar University, Salem, India, March 2020.
  6. Baskar, S., Srivastava, H., and Gowda, G. D. V. (2026), Numerical-Asymptotic Methods for Multi-Scale Hyperbolic Systems, International Conference on Differential Equations: Theory, Modelling & Computing, SRM IST, Chennai, India, January 2026.
  7. Baskar, S., Srivastava, H., and Gowda, G. D. V. (2026), Conservative Discretization of a Nonlinear Hyperbolic Phase-Transport System with Curvature, The 20th International Conference on Hyperbolic Problems: Theory, Numerics and Applications (HYP2026), University of Stuttgart, Germany, May 2026.

Teaching Interest

I enjoy teaching the following topics:

Recognition & Awards

Institute Level Excellence in Teaching Award

Prof. S. P. Sukhatme Award, IIT Bombay • 2020

Departmental Excellence in Teaching Award

Mathematics Department, IIT Bombay • 2018

Courses Taught at IITB

Graduate Courses

Numerical Analysis

Offered five times • Highest Student Feedback: 95.85% (Class Strength: 58)

Ordinary Differential Equations

Offered five times • Highest Student Feedback: 98.04% (Class Strength: 33)

Partial Differential Equations

Offered once • Student Feedback: 79.78% (Class Strength: 25)

Advanced Level Partial Differential Equations (for Ph.D.)

Offered twice • Highest Student Feedback: 100% (Class Strength: 2)

Mathematical Methods

Offered once • Student Feedback: 96.44% (Class Strength: 14)

Probability Theory

Offered once • Student Feedback: 71.72% (Class Strength: 73)

Multivariable Calculus

Offered once • Student Feedback: 87.52% (Class Strength: 34)

Hyperbolic Conservation Laws

Offered once • Student Feedback: 89.50% (Class Strength: 14)

Numerical Methods for Partial Differential Equations

Offered twice • Highest Student Feedback: 84.67% (Class Strength: 30)

Derivative Pricing (Financial Mathematics)

Offered five times • Highest Student Feedback: 91.98% (Class Strength: 86) • Course Webpage

Mathematics of Deep Learning Architecture

Offered once • Student Feedback: 87.7% (Class Strength: 53) • Course Webpage

Undergraduate Courses

Numerical Analysis

Offered six times • Highest Student Feedback: 92.66% (Class Strength: 224)

Introduction to Probability Theory

Offered twice • Highest Student Feedback: 95.43% (Class Strength: 45)

Curriculum and Course Development

Developed course materials on:

  1. Numerical Analysis — PDF Link
  2. Derivative Pricing and Financial Mathematics — Course webpage with full notes
  3. Mathematics of Deep Learning — Course webpage with full notes
  4. Probability Theory — PDF Link
  5. Ordinary Differential Equations — PDF Link

Designed an elective course on Hyperbolic Conservation Laws.

Designed an elective course on Mathematics of Deep Learning Architectures.

Educational Outreach and Online Teaching

Instructor, 12-week NPTEL–NOC online course on Numerical AnalysisCourse Link

Developed and delivered online lecture series on YouTube during Covid:

Get in Touch

Email

baskar AT math DOT iitb DOT ac DOT in

Phone

+91-22-25767463 (Office)

Office Location

E-106, First Floor
Department of Mathematics
Indian Institute of Technology Bombay
Mumbai - 400 076, INDIA