Close
9
بهمن
شروع انتخاب واحد دانشجویان
19
بهمن
شروع انتخاب واحد دانشجویان (ورودی 1400)
16
بهمن
شروع کلاس ها
23
بهمن
شروع کلاسها (ورودی 1400)
30
بهمن
حذف و اضافه دروس
تا 22
اردیبهشت
امتحانات میان ترم
5
خرداد
پایان کلاس ها و مهلت حذف ترم
از 16
خرداد
امتحانات پایانی نیمسال دوم
12
تیر
آخرین مهلت ثبت موقت نمرات پایان ترم
14
تیر
آخرین مهلت تثبیت نهایی نمرات پایان ترم
Close
People Access
More...
University websites
Educational Calendar
۱۴۰۱/۰۵/۲۹ -
Electronic Services
سامانه جامع اتوماسیون اداری
سامانه جامع آموزش
سامانه خدمات دانشجویی
سامانه تغذیه
سامانه آموزش الکترونیکی
پرتال کتابخانه دیجیتال
پست الکترونیکی
سامانه پرداخت الکترونیکی
سامانه داده پردازی پژوهش
گزارش تصویری
کلیه سامانه ها
FA
EN
Main Menu
Home
About
History
UG Officials
Rankings
Mission and Vision
Catalog
Postal Card
Campus Life
Dormitories
Cafeterias and Restaurants
Health Center
Transportation
University Maps
Libraries
International Center for Teaching Persian to Non-Persian Speakers
Faculties
Faculty of Sciences
Faculty of Engineering
Faculty of Literature and Humanities
Faculty of Agricultural Sciences
Faculty of Art and Architecture
Faculty of Mathematical Sciences
Faculty of Natural Sciences
Faculty of Physical Education
Faculty of Engineering and Technology (Eastern Guilan)
Faculty of Mechanical Engineering
Academics
Undergraduate Programs
Graduate Programs
Joint Academic Programs
Exchange Programs
E-Learning
Staff Directory
Admissions
International Students
Fees and Scholarship
How to Apply
Research
Research Focus
Research Centers
Journals and Publications
Partnerships
International Office
Online Appilication
Faculty Members
Login
Farshid Mehrdoust
Farshid Mehrdoust
(FA Page)
Associate Professor
|
Email:
Google Scholar Profile
Resume file :
Download
Biography
Articles And Books
Offered Courses
Research Interests: Stochastic Algorithms in Scientific Computing; Modeling and Simulation of Financial Markets; Data Science in Finance; Arbitrage Theory; Energy and Commodity Markets
Books
Markov Chain Monte Carlo Model ,2014 ,
Articles
Calibration of the double Heston model and an analytical formula in pricing American put option ,Journal of Computational and Applied Mathematics ,2021 ,
A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds ,Journal of Computational and Applied Mathematics ,2020 ,
Pricing multi-asset American option with stochastic correlation coefficient under variance Gamma asset price dynamic ,Annals of Financial Economics ,2020 ,
CEV model equipped with long memory ,Journal of Computational and Applied Mathematics ,2020 ,
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model ,Mathematics and Financial Economics ,2021 ,
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model ,Mathematics and Computers in Simulation ,2021 ,
Bid and Ask spreads for the cap and floor contracts under the Liouville fractional Vasicek model ,Studies of Applied Economics ,2021 ,
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ,COMMUNICATIONS IN STATISTICS - SIMULATION AND COMPUTATION ,2020 ,
European Option Pricing under Multi-factor Uncertain Volatility Model ,Soft Computing ,2020 ,
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 ,
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 ,
Showing 1 - 20 of 26 results.
Items per Page
(Changing the value of this field will reload the page.)
5
10
20
30
50
75
Page
(Changing the value of this field will reload the page.)
1
2
of 2
First
Previous
Next
Last
Name
Data Mining
-
-
-
B.Sc. Computer Science Project
Data Mining
Financial Engineering
Mathematical Finance 1
-
-
-
-
-
-
-
-
Numerical Methods in Financial Mathematics
PhD Thesis
Showing 1 - 20 of 26 results.
Items per Page
(Changing the value of this field will reload the page.)
5
10
20
30
50
75
Page
(Changing the value of this field will reload the page.)
1
2
of 2
First
Previous
Next
Last
Member login
Text Verification
*
Caps Lock is on.
retrieve-password