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Current PhD Students:
- Nazanin Abedini (Supervisor)
- Maryam Vahid Dastgerdi (Supervisor)
- Abolfazl Mighani (Supervisor)
- Zahra Ahmadi (Co-Supervisor)
- Marzieh Malzoumati (Co-Supervisor)
Current MSc Students:
Investigation of Numerical Methods for
Pricing Financial Options under the
Uncertain Volatility Model Structural Models for Credit Risk based on Regime-Switching Levy Processes
Pricing Real Options under the Regime-Switching Risk
- Aysan Rafiee Oskouei (Co-Supervisor)
Numerical Solution of Integral Equation
Representations for the Early-Exercise
Boundary of American Options Optimal Portfolio Allocation with Higher Moments Multi-Level Monte-Carlo Methods in Financial Engineering
Pricing American-Style Options with European Call Options
American Option Pricing in Regime-Switching Jump-Diffusion Models
Design of Risk Weights
Heterogeneous Agent Financial Market Models
Previous MSc Students:
Min-Max Robust and CVaR Robust Portfolio Optimization
Financial Modeling in Energy Markets
A Reduced Basis for Option Pricing
Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement
Improved Frechet Bounds and Model-Free Pricing of Multi-Asset Options
Threshold-Based Models in Behavioural Finance
Stochastic Optimal Control in Pairs Trading
RBF Collocation for Numerical Solution of Delay Differential Equations
Boundary Value Problems for Stochastic Differential Equations
- Sayed Mohammad Mahdi Kazemi
American Option Pricing by Han and Wu's Method
RBF Collocation Methods for Random Partial Differential Equations
Portfolio Optimization based on Higher Moments
- Behnaz Ghorbanlou (Advisor)
Portfolio Credit Risk with Extremal Dependence
Least-Squares Monte-Carlo for American Option Pricing
Levy Processes in Option Pricing
Efficient Monte-Carlo Methods for Option Pricing in a LIBOR Market Model
Gap Risk and Portfolio Insurance
Regime-Switching Models in Option Pricing
Monte-Carlo Methods for CDO Pricing
Simulation of Order Book Dynamics
Efficient Monte-Carlo Methods for VaR and CVaR Estimation
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