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Farshid Mehrdoust

Farshid Mehrdoust

Farshid Mehrdoust (FA Page)

Associate Professor

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RESEARCH INTEREST: Modeling and Simulation of Financial Markets; Arbitrage Theory; Energy and Commodity Markets; Data Science in Finance; Stochastic Algorithms in Scientific Computation

Books

Markov Chain Monte Carlo Model ,2014 ,

Articles

A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds ,Journal of Computational and Applied Mathematics ,2020 ,
Long memory version of stochastic volatility jump-diffusion model with stochastic intensity ,Studies of Applied Economics ,2020 ,
A mixed fractional Vasicek model and pricing Bermuda option on zero-coupon ,SADHANA ,2020 ,
An Uncertain Exponential Ornstein–Uhlenbeck Interest Rate Model with Uncertain CIR Volatility ,Bulletin of the Iranian Mathematical Society ,2019 ,
An effiecient variance reduction-based simulation algorithm for pricing arithmetic Asian options ,Annals of Financial Economics ,2020 ,
Pricing S&P500 barrier put option of American type under Heston–CIR model with regime-switching ,International Journal of Financial Engineering ,2019 ,
Pricing multi-asset American option under Heston-CIR diffusion model with jumps ,Communications in Statistics - Simulation and Computation ,2019 ,
American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis ,JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION ,2019 ,
LSM approach to multi-asset American option pricing under Heston-Hull-White model , ,2018 ,
A fractional version of the Cox Ingersoll Ross interest rate model and pricing double barrier option with Hurst index H (2/3 , 1) ,Communications in Statistics - Theory and Methods ,2018 ,
On the existence and uniqueness of the solution to the double Heston model equation and valuing Lookback option ,Journal of Computational and Applied Mathematics ,2018 ,
Pricing multi-asset American option under Heston stochastic volatility model ,International Journal of Financial Engineering ,2018 ,
A FRACTIONAL VERSION OF THE HESTON MODEL WITH HURST PARAMETER H ∈ (1 / 2 , 1) ,Dynamic Systems and Applications ,2017 ,
Mixed fractional Heston model and the pricing of American options ,Journal of Computational and Applied Mathematics ,2018 ,
Pricing European options under fractional Black-Scholes model with a weak payoff function ,Computational Economics ,2017 ,
Block-pulse operational matrix method for solving fractional Black-Scholes equation ,Journal of Economic Studies ,2017 ,
Valuation of European Option under Uncertain Volatility Mode ,Soft Computing Journal ,2017 ,
Pricing American put option on zero-coupon bond under fractional CIR model with transaction cost ,COMMUNICATIONS IN STATISTICS—SIMULATION AND COMPUTATION ,2017 ,
Modeling Asset Price Under Two-Factor Heston Model with Jumps ,International Journal of Applied and Computational Mathematics ,2017 ,
Bond pricing under mixed generalized CIR model with mixed Wishart volatility process ,Journal of Computational and Applied Mathematics ,2017 ,
Robust portfolio selection with polyhedral ambiguous inputs ,Journal of Mathematical Modeling ,2016 ,
Efficient Monte Carlo option pricing under CEV model ,Communications in Statistics - Simulation and Computation ,2016 ,
Adjusted robust mean-value-at-risk model: less conservative robust portfolios ,optimization and engineering ,2016 ,
Option pricing under Heston Regime-Switching Diffusion model with jumps ,Advanced Modeling and Optimization ,2016 ,
LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model ,Computational Economics ,2016 ,
A novel effective approach for systems of coupled Schrödinger equation ,PRAMANA-Journal of Physics ,2016 ,
ON APPROXIMATE-ANALYT ICAL SOLUTION OF GENERALIZED BLACK-S CHOLES EQUATION ,University Politehnica of Bucharest Scientific Bulletin-Series A-Applied Mathematics and Physics ,2015 ,
Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps ,JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION ,2015 ,
On the Numerical Solutions of Heston Partial Differential Equation ,An Mathematical Sciences Letters ,2015 ,
ON ANALYTICAL SOLUTION OF THE BLACK-SCHOLES EQUATION BY THE FIRST INTEGRAL METHOD ,U.P.B. Sci. Bull., Series A ,2014 ,
On pricing European options under HCIR model: A comparative study ,Advanced Modeling and Optimization ,2014 ,
The Option Pricing Under Double Heston Model with Jumps ,2014 ,
Modeling asset prices based on two-factor stochastic volatility ,The Electronic International Journal ADVANCED MODELING and OPTIMIZATION ,2014 ,
Robust Mean-Conditional Value at Risk Portfolio Optimization ,International Journal of Economic Sciences ,2014 ,
Accelerated Simulation Scheme for Solving Financial Problems ,International Journal of Information Technology and Computer Science ,2014 ,
Numerical Simulation for Multi-asset Derivatives Pricing Under Black-Scholes Model ,Chiang Mai Journal of Science ,2013 ,
A RANDOMIZED ALGORITHM FOR ESTIMATING THE CONDITION NUMBER OF MATRICES ,MATHEMATICAL REPORTS ,2013 ,
A Robust and Accurate Quasi-Monte Carlo Algorithm for Estimating Eigenvalue of Homogeneous Integral Equations ,ISRN Computational Mathematics ,2013 ,
CVaR Robust Mean-CVaR Portfolio Optimization ,ISRN Applied Mathematics ,2013 ,
A new hybrid Monte Carlo simulation for Asian options pricing ,Journal of Statistical Computation and Simulation ,2013 ,
A hybrid randomized algorithm for image compression ,International Journal of Applied Mathematical Research ,2013 ,
A reliable stochastic algorithm for estimating eigenvalue of homogeneous integral equations ,Journal of Advanced Research in Applied Mathematics ,2013 ,
ANALYTIC STUDY ON LINEAR SYSTEMS OF DISTRIBUTED ORDER FRACTIONAL DIFFERENTIAL EQUATIONS ,Le Matematiche ,2012 ,
MCMC-PCA based compression algorithm for images ,Journal of Advanced Research in Scientific Computing (JARSC) ,2012 ,
Variance Estimation of Linear Regression Coefficients Using Markov Chain Monte Carlo Simulation ,International Journal of Nonlinear Science ,2012 ,
A New Efficient Method for Nonlinear Fisher-Type Equations ,Journal of Applied Mathematics ,2012 ,
A New Approach To Improving The Estimate of Delta () Under European Option ,International Journal of Applied Mathematical Research ,2012 ,
On Finding the Smallest Generalized Eigenpair Using Markov Chain Monte Carlo Algorithm ,Applied Mathematics ,2012 ,
A Computational Approach to Financial Option Pricing Using Quasi Monte Carlo Methods via Variance Reduction Techniques ,Journal of Mathematical Finance ,2012 ,
Monte Carlo simulation for numerical integration based on antithetic variance reduction and Halton\'s sequences ,The Journal of Mathematics and Computer Science (JMCS ,2012 ,

Articles (from conference)

A review on Data mining algorithms ,2014 ,
A efficiency comparision of calibration methods in option pricing under Heston model ,2014 ,
Some numerical results on option pricing under jump-diffusion model ,2014 ,
Robust Mean-Value at Risk: A Numerical Approach ,2014 ,
Some numerical results on European option pricing under Heston model ,2013 ,
Pricing European options under the double Heston model with jumps ,2013 ,
robust mean conditional value at risk portfolio optimization ,2013 ,
European option pricing using robust Monte Carlo algorithm ,2012 ,
Implementation of multi asset binomial model for pricing option baased on American and European models ,2012 ,

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