Journal Articles

• Nedaiasl, K., Foroush Bastani, A., Rafiee, A. ‘A product integration method for the approximation of the early exercise boundary in the American option pricing problem’, Submitted.


• Malzoumati-Khiaban, M., Foroush Bastani, A., Yaghouti, M. R., ‘Long-Term Adaptive Symplectic Numerical Integration of Linear Stochastic Oscillators Driven by Additive White Noise’, Submitted.

• Foroush Bastani, A., Vahid Dastgerdi, M., Mighani, A. ‘On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models’, Communications in Nonlinear Science and Numerical Simulation, 2018, 59, 88-104.


• Kazemi, S.M.M., Dehghan, M. and Foroush Bastani, A., ‘On a new family of radial basis functions: Mathematical analysis and applications to option pricing’, Journal of Computational and Applied Mathematics, 2018, 328, 75-100.

• Nedaiasl, K., Foroush Bastani, A., ‘On the numerical approximation of some non-standard Volterra integral equations’, Dolomite Research Notes on Approximation, 2017, 10, 118-127.

• Kazemi, S.M.M., Dehghan, M. and Foroush Bastani, A., ‘Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry’, Journal of Computational and Applied Mathematics, 2017, 311, 11-37.                 [Some Maple Codes Related to the Paper]

• Foroush Bastani, A. and Damircheli, D., ‘An adaptive algorithm for solving stochastic multi-point boundary value problems’, Numerical Algorithms, 2017, 74 (4), 1119–1143.

• Akhtari, B., Babolian E. and Foroush Bastani, A., ‘An adaptive weak continuous  Euler-Maruyama method for stochastic delay differential equations’, Numerical Algorithms,  2015, 69 (1), 29-57.
  

• Foroush Bastani, A., Ahmadi, Z. and Damircheli, D., ‘A radial basis collocation method for pricing American options under regime switching jump-diffusion models’, Applied Numerical Mathematics, 2013, 65, 79-90.
  

• Foroush Bastani, A. and Tahmasebi, M., ‘Strong convergence of split-step backward Euler method for stochastic differential equations with non-smooth drift’, Journal of Computational and Applied Mathematics, 2012, 236, 1903-1918.

• Foroush Bastani, A. and S. M. Hosseini,‘On mean-square stability properties of a new adaptive stochastic Runge-Kutta method’,  Journal of Computational and Applied Mathematics, 2009,  224 (2), 556-564.
  

• Foroush Bastani A. and S. M. Hosseini, ‘A new adaptive Runge-Kutta method for stochastic differential equations’,  Journal of Computational and Applied Mathematics, 2007, 206, 446-136.

Conferences and Other Presentations

• K. Nedaiasl, Foroush Bastani, A., ‘A product integration method for the approximation of the early exercise boundary in the American option pricing problem’, 8th General AMaMeF Conference, University of Amsterdam, 19–23 June 2017, Amsterdam, Netherlands [Link]
  

• Foroush Bastani, A., Mighani, A. and Vahid Dastgerdi, M., ‘A Multilevel Numerical Scheme Based on RBF Collocation to Solve Nonlinear PDEs Arising From BCG Stochastic Volatility Models’, European Conference on Numerical Mathematics and Advanced Applications (ENUMATH 2015), Middle East Technical University, 14–18 Sept. 2015, Ankara, Turkey.
  

• Foroush Bastani A., Dehghan, M. and Kazemi, S. M. M. ‘American Option Pricing Using the Pseudospectral Legendre-Finite Difference Method’, The First Asian Quantitative Finance Conference (AQFC 2013), 9-11 Jan. 2013, Singapore.
  

• Foroush Bastani A., Atar Abasi, M. ‘Monte-Carlo Methods for the Valuation of Synthetic CDO Tranches in a One-Factor ${cal M}_{{cal G}-{cal NIG}}$ Model’’, Fifth International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2012), 10-12 Apr. 2012, Venice, Italy. [Link]

• Foroush Bastani, A., Ahmadi, Z. and Damircheli, D., ‘A Radial Basis Collocation Method for Pricing American Options with Regime Switching Jump-Diffusion Models’, International Conference on Mathematical Finance and Economics, 6-8 Jul. 2011, Istanbul, Turkey.
  

• Foroush Bastani A., Kazemi, S. M. M. ‘Improved Transparent Boundary Conditions for Pricing American Options’, NUMAN2010 Conference, 15-18 Sep. 2010, Chania, Crete, Greece. [Link]