Ali Foroush Bastani



Research Group

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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:
  • Saeideh Golmohammadi
         Investigation of Numerical Methods for Pricing Financial Options under the
         Uncertain Volatility Model
  • Hadi Mohagheghi
         Structural Models for Credit Risk based on Regime-Switching Levy Processes
  • Shahram Mohammadi
         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
  • Saman Vahabi
         Optimal Portfolio Allocation with Higher Moments
  • Rahimeh Aali
         Multi-Level Monte-Carlo Methods in Financial Engineering
  • Sahar Yaghoubi
         Pricing American-Style Options with European Call Options
  • Roghiye Sharifi
         American Option Pricing in Regime-Switching Jump-Diffusion Models
  • Hamed Maleki
          Design of Risk Weights
  • Zeinab Bigdeli
          Heterogeneous Agent Financial Market Models
Previous MSc Students:
  • Fatemeh Yasemi
          Min-Max Robust and CVaR Robust Portfolio Optimization
  • Mohammad-Reza Shamsi
          Financial Modeling in Energy Markets
  • Elias Pooriran
          A Reduced Basis for Option Pricing
  • Elmira Reihani
          Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement 
  • Raheleh Hasani Ali-Molk
          Improved Frechet Bounds and Model-Free Pricing of Multi-Asset Options 
  • Bayan Weisi
          Threshold-Based Models in Behavioural Finance
  • Elnaz Ghasemi
          Stochastic Optimal Control in Pairs Trading
  • Azam Bayati (Advisor)
          RBF Collocation for Numerical Solution of Delay Differential Equations
  • Davood Damirchi
          Boundary Value Problems for Stochastic Differential Equations 
  • Sayed Mohammad Mahdi Kazemi
          American Option Pricing by Han and Wu's  Method
  • Vahid Farhangi
          RBF Collocation Methods for Random Partial Differential Equations 
  • Ali Sadeghi Abrazgeh
          Portfolio Optimization based on Higher Moments         
  • Behnaz Ghorbanlou (Advisor)
          Portfolio Credit Risk with Extremal Dependence
  • Zahra Ahmadi
          Least-Squares Monte-Carlo for American Option Pricing
  • Zaniar Ahmadi
          Levy Processes in Option Pricing 
  • Alireza Tasdighi
          Efficient Monte-Carlo Methods for Option Pricing in a LIBOR Market Model
  • Fatemeh Ghasemi
          Gap Risk and Portfolio Insurance 
  • Neda Rezaei
          Regime-Switching Models in Option Pricing
  • Monire Atarabasi
          Monte-Carlo Methods for CDO Pricing
  • Soraya Honarmandi
          Simulation of Order Book Dynamics
  •  Jila Feyzi
          Efficient Monte-Carlo Methods for VaR and CVaR Estimation



Research Interests


Research Group