Home Directories and pam.d using LDAP

This is exactly what pam_mkhomedir was made for.
The pam_mkhomedir module can create the user's home directory upon login if that directory does not exist.

How to install it depends upon your distribution. But you would need to put it in one or more files in /etc/pam.d.
For example, on my system I have /etc/pam.d/system-login which is included by all other services which perform login (ssh, gdm, etc).
I would put pam_mkhomedir.so in the session stack, such as:

session     optional    pam_loginuid.so
session     required    pam_env.so 
session     optional    pam_lastlog.so 
session     include     system-auth
session     optional    pam_mkhomedir.so # <<< right here
session     optional    pam_ck_connector.so nox11
session     optional    pam_gnome_keyring.so auto_start
session     optional    pam_motd.so motd=/etc/motd

Where you put it is entirely dependent upon what else is in the stack. But you should put it before anything else which might need the home directory.

See man 8 pam_mkhomedir for the options it supports.

In Ubuntu 14.04 system-login is not present, but another file named as common-session is present.

I went there and put:

root@GW:~# vim /etc/pam.d/common-session

#
session optional        pam_systemd.so skel=/etc/skel/ umask=0077

This will create home directory if no exist also set the permission to 700