دکتر فرشید مهردوست
دانشکده: دانشکده علوم ریاضی
گروه: گروه ریاضی کاربردی
University of Guilan
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دکتر فرشید مهردوست
رتبه علمی:

دانشیار

دانشکده:

دانشکده علوم ریاضی

گروه:

گروه ریاضی کاربردی



بیوگرافی :: تحصیلات :: تالیفات :: دروس :: برنامه هفتگی :: سایت های مرتبط :: CV :: ارتباط


 BIOGRAPHY ♦

 

Place of birth: Rasht

Date of birth: September 20, 1977



EDUCATION

 


High school: Dr. Beheshti, Rasht, 1991

B. Sc.  : Applied Mathematics, University of Guilan, 1995

M. Sc. : Applied Mathematics (Scientific Computing), Sharif University of Technology, 1999

Ph. D. : Applied Mathematics (Stochastic Methods and Algorithms), University of Guilan, 2007

 

 

RESEARCH SUMMARY ♦

 

My main research interests are in the area of the Randomized Algorithms for scientific computations, Monte Carlo methods and algorithms for Linear Algebra, Computational Finance, and performance computing encompassing stochastic modelling. These interests reside in many areas of mathematics ranging from applied mathematics, statistics to computer siences. Recently, I have been working on Computational Finance.o

 

 

  HONORS AND EXECUTIVE ACTIVITIES ♦ 

 

   Ranked 5th in the entrance examination for graduate studies in Applied Mathematics, Iran, 1999

 

Outstanding researcher of the Faculty of Mathematical Sciences, University of Guilan, 2013

 

Director of the Entrepreneurship Center of University of Guilan, 2012-2014

 

Director of the e-Learning Center of University of Guilan, Since September, 2014

 

Director of the Information & Communication Center of University of Guilan, Since October, 2016



PUBLICATIONS ♦

 

Pricing European options under fractional Black-Scholes model with a weak payoff function, Accepted in Computational Economics(ISI), 2017

 

Valuation of European Option  under Uncertain Volatility Model, Accepted in Soft Computing, 2017

 

A fractional version of the Heston model with Hurst parameter H ∈ (1/2, 1) (with Emmanuel Lépinette), Accepted in Dynamic Systems and Application, 2017

 

Pricing American put option on zero-coupon bond under ‎fractional‎ CIR ‎model‎ with transaction cost, Accepted in Communications in Statistics - Simulation and Computation, 2017

 

Bond pricing under mixed generalized CIR model with mixed Wishart volatility process, Journal of Computational and Applied Mathematics (ISI), 2017

 

Modeling asset price under two-factor Heston model with jumps, Accepted in International Journal of Applied and Computational Mathematics, 2017

 

Markov Chain Monte Carlo Model, 2nd Edition, Encyclopedia of Social Network Analysis and Mining, Springer, 2016

 

Block-pulse operational matrix method for solving fractional Black-Scholes equation,  Accepted in Journal of Economic Studies, 2016

 

LSM algorithm for pricing American option under Heston-Hull-White’s stochastic volatility model, Accepted in Computational Economics, 2016

 

Pricing arithmetic Asian option under two-factor stochastic volatility model with jumps, Journal of Statistical Computation and Simulation,  2015

 

Efficient Monte Carlo option pricing under CEV model, Communications in Statistics - Simulation and Computation, 2015

 

A new hybrid Monte Carlo simulation for Asian options pricing, Journal of Statistical Computation and Simulation, 2015

 

On approximate-analytical solution of generalized Black-Scholes equation, Sci. Bull., Series,  2015

 

On analytical solution of the Black-Scholes equation by the first integral method, Applied Mathematics and Physics, 2014

 

A randomized algorithm for estimating the condition number of matrices, Mathematical Reports, 2014

 

Markov Chain Monte Carlo Model, Encyclopedia of Social Network Analysis and Mining, ESNAM Project, Springer, 2014

 

On pricing European options under HCIR model: A comparative study, Advanced Modeling and Optimization, 2014

 

Modeling asset prices based on two-factor stochastic volatility, Advanced Modeling and Optimization, 2014

 

On option pricing under double Heston model with jumps (in Persian), Journal of Advanced Mathematical Modeling, 2014 

 

Numerical simulation for multi-asset derivatives pricing under Black-Scholes model, Chiang Mai Journal, 2013

 

On the numerical solutions of Heston partial differential equation, Math. Sci. Lett., 2014

 

Accelerated Simulation Scheme for Solving Financial Problems, International Journal of Information Technology and Computer Science, 2014  

 

A robust and accurate quasi-Monte Carlo algorithm for estimating eigenvalue of homogeneous integral equations, ISRN Computational Mathematics, 2013

 

A reliable stochastic algorithm for estimating eigenvalue of homogeneous integral equations, Journal of Advanced Research in Applied Mathematics, 2013 

 

A computational approach to financial option pricing using quasi Monte Carlo methods via variance reduction techniques, Journal of Mathematical Finance, 2012 

 

Analytical study on linear systems of distributed order fractional differential equations, Le Mathematiche, 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

 

Monte Carlo simulation for numerical integration based on antithetic variance reduction and Halton"s sequences, Journal of Mathematics and Computer Science, 2012 

 

Variance estimation of simple linear regression coefficient using Markov chain Monte Carlo simulation, International Journal of Nonlinear Sciences , 2012 

 

  A new efficient method for nonlinear Fisher type equations, Journal of Applied Mathematics, 2012 

 

MCMC-PCA based compression algorithm for images, Journal of Advanced Research in Scientific Computing, 2012 

 

       Variational Monte Carlo algorithm for solving one dimensional harmonic oscillator problem, Journal of Mathematics and Computer Science, 2012 

 

New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue, International journal of computer mathematics, 2011 

 

Quasi Monte Carlo algorithm for computing smallest and largest generalized eigenvalue, ANZIAM Journal, 2011 

 

Partitioning IMCI algorithm for finding three smallest eigenpairs of generalized eigenvalue problem, Advances in numerical analysis, 2011 


Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair, Computer Science Journal of Moldova, 2010 

 

Some new advantages on Monte Carlo integration using variance reduction procedures, International journal of Advanced Research in Computer Science, 2010 

 

Modified Brownian motion simulation and calculating Itô and Stratonovich integrals, Journal of the Applied Mathematics, Statistics and Informatics, 2011

 

On computing generalized dominant eigenpair by Markov chain Monte Carlo method, Proceedings of The First International Conference on Mathematics and Statistics, American University of Sharjah, UAE, March 18-21, 2010 

 

Some numerical results on European option pricing under Heston model, 5th Conference on Applied Mathematics, BU-Ali Sina University, Iran, 2013

 

Robust mean conditional value at risk portfolio optimization, 3th conference on Financial Mathematics, Semnan University, Iran, 2013 

 

Pricing European options under the double Heston model with jumps, 5th Conference on Applied Mathematics, BU-Ali Sina University, Iran, 2013

 

Robust Mean-Value at Risk Model: Solution and Structure Robustness, The 45th annual Iranian Mathematics conference, August, 2014

 

An efficiency comparison of calibration methods in option pricing under Heston model, 5th Numerical analysis conference, Vali-Asr university, 2014

 

Some numerical results on option pricing under jump-diffusion mode, 5th Numerical analysis conference, Vali-Asr university, 2014

 

Robust Mean-Value at Risk: A Numerical Approach, The 7th International Conference of Iranian Operations Research Society, Semnan University, 2014 

 

 

SUBMITTED PAPERS 

 

 MIXED FRACTIONAL HESTON MODEL AND THE PRICING OF AMERICAN OPTIONS, Submitted, 2016

 

LSM algorithm approach to pricing multiple assets American options under Heston-Hull-White model, Submitted, 2016

 

On pricing multiple assets American options under Heston’s stochastic volatility model, Submitted, 2015

 


 

 

BOOKS   

A book titled " Numerical analysis- Stochastic and Deterministic Approach", Eta Pub. Co., Tehran, Iran, 2008 

 

A book titled "Pascal Programming", Haghshenas Pub. Co., Rasht, Iran, 2006 

 

 A book titled " Advanced Programming with C", JAHADE DANESHGAHI Pub. Co., Rasht, Iran, 2006 



( TEACHING ( Fall 2004-present ♦

 

 

Computer simulation and its applications

 

Advanced programming and algorithms

 

Data mining

 

Mathematical modeling for finance

 

Data strucures and algorithms

 

Perfomance evaluations of computer systems and networks

 

Statistical techniques for scientific computations

 

Stochastic processes

 

 

CURRENT PHD STUDENTS ♦

 

Alireza Najafi

 

Somayeh Fallah

 

 

MSC SUPERVISED ♦

 

O. Samimi, American multi-asset option pricing, University of Guilan, 2016

 

S. Sharafpour, Jump-diffusion model with stochastic interest rate, University of guilan, 2016

 

Z. Mardani, Multi-factor stochastic volatlity models, University of guilan, 2016

 

S. Faghih, Option pricing under mean reverting process, University of Guilan, 2015

 

S. Emami, Option pricing and regime-switching model, University of Guilan, 2015

 

M. Asaadi,  Some results on American option under Heston model with stochastic interest rate, University of Guilan, 2015

 

S. Fallah, Jump process and its application in mathematical finance, University of Guilan, 2014

 

M. Sahd, A Fast algorithm for Bermudan option pricing, co- supervision Dr. Samimi, University of Guilan, 2014

 

M. Javadi Azad, A ‎fast support vector machine algorithm and its application in image ‎processing, co-supervision with Dr. Ketabchi, University of Guilan, 2014 

 

H. Yazdani, ‎Some results on option pricing in Heston model, co-supervision with Dr. Samimi, University of Guilan, 2013

 

H. Behgar, Option pricing and hedging under a stochastic volatility Levy process model, co- supervision Dr. Samimi, University of Guilan, 2013

 

M. Masodi, Fast and accurate pricing of barrier options under Levy processe, co-supervision with Dr. Samimi, University of Guilan, 2013

 


 



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تماس با ما دکتر فرشید مهردوست
fmehrdoust@guilan.ac.ir
0131-3233901
رشت- خیابان نامجو- دانشکده علوم ریاضی- گروه ریاضی کاربردی - دانشگاه گیلان

98-131-3233901+
Department of Applied Mathematics, Faculty of Mathematical Science, University of Guilan, Namjoo Street, Rasht, Iran, P.O.Box 1914
Email: fmehrdoust@guilan.ac.ir   ورود به سیستم