Dr. Farshid Mehrdoust
Faculty: Faculty of Mathematical Sciences
Department: Department of Applied Mathematics
University of Guilan
Home | Login

| Password Recovery | | فارسی
Dr. Farshid Mehrdoust
Academic Rank:

Associate Prof.

Faculty:

Faculty of Mathematical Sciences

Department:

Department of Applied Mathematics



Profile :: Education :: Publications :: Courses :: CV :: Contact


  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.

 



PUBLICATIONS

 Some results on the fractional Heston model with transaction costs, submitted, 2016

 

Block-pulse operational matrix method for solving fractional Black-Scholes equation, submitted, 2016

 

Pricing European options under fractional Black-Scholes model, submitted, 2016

 

On pricing multiple assets American options under Heston’s stochastic volatility model, submitted, 2016

 

LSM algorithm for pricing American option under Heston-Hull-White’s stochastic volatility model, submitted, 2016

 

Modeling asset price under two-factor Heston model with jumps, submitted, 2015

 

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

 

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

 

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

 

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

 

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

 

A randomized algorithm for estimating the condition number of matrices, Mathematical Reports (ISI), 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 (ISI), 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 (ISC), 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 (ISI), 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 (ISI), 2011

 

Quasi Monte Carlo algorithm for computing smallest and largest generalized eigenvalue, ANZIAM Journal (ISI), 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

 

 

 

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

Mathematical modeling for finance

Data strucures and algorithms

Perfomance evaluations of computer systems and networks

Statistical techniques for scientific computation

Stochastic processes

Data mining

 

 

 

M. SC. 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

 





contact Dr. Farshid Mehrdoust
fmehrdoust@guilan.ac.ir
Email: fmehrdoust@guilan.ac.ir   Login