Farshid Mehrdoust

Available identifiers

zbMath Open mehrdoust.farshidMaRDI QIDQ469840

List of research outcomes

Publication	Date of Publication	Type
https://portal.mardi4nfdi.de/entity/Q6125562	2024-04-11	Paper
Implied higher order moments in the Heston model: a case study of S\&P500 index	2023-11-17	Paper
Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market	2023-11-13	Paper
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions	2022-12-13	Paper
Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region	2022-11-22	Paper
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm	2022-11-17	Paper
Foreign exchange options on Heston-CIR model under L\'{e}vy process framework	2022-08-08	Paper
European option pricing under multifactor uncertain volatility model	2022-07-12	Paper
Pricing multi-asset American option under Heston-CIR diffusion model with jumps	2022-06-21	Paper
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model	2021-07-08	Paper
Calibration of the double Heston model and an analytical formula in pricing American put option	2021-04-23	Paper
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model	2021-03-06	Paper
CEV model equipped with the long-memory	2021-02-11	Paper
American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis	2020-04-27	Paper
A new hybrid Monte Carlo simulation for Asian options pricing	2020-03-27	Paper
Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps	2020-03-27	Paper
https://portal.mardi4nfdi.de/entity/Q4612320	2019-01-31	Paper
https://portal.mardi4nfdi.de/entity/Q4612321	2019-01-31	Paper
https://portal.mardi4nfdi.de/entity/Q4612381	2019-01-31	Paper
On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option	2019-01-24	Paper
https://portal.mardi4nfdi.de/entity/Q4610979	2019-01-23	Paper
Valuation of European option under uncertain volatility model	2018-10-23	Paper
https://portal.mardi4nfdi.de/entity/Q4585693	2018-09-06	Paper
https://portal.mardi4nfdi.de/entity/Q4609296	2018-03-29	Paper
Adjusted robust mean-value-at-risk model: less conservative robust portfolios	2017-09-08	Paper
https://portal.mardi4nfdi.de/entity/Q5270049	2017-06-29	Paper
https://portal.mardi4nfdi.de/entity/Q2822979	2016-10-05	Paper
https://portal.mardi4nfdi.de/entity/Q2806727	2016-05-18	Paper
Quasi Monte Carlo algorithm for computing smallest and largest generalised eigenvalues	2016-02-01	Paper
A robust and accurate quasi-Monte Carlo algorithm for estimating eigenvalue of homogeneous integral equations	2015-02-23	Paper
CVaR robust mean-CVaR portfolio optimization	2014-11-11	Paper
https://portal.mardi4nfdi.de/entity/Q5412972	2014-04-28	Paper
https://portal.mardi4nfdi.de/entity/Q5412230	2014-04-25	Paper
A new efficient method for nonlinear Fisher-type equations	2012-11-15	Paper
New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue	2011-11-29	Paper
Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair	2011-10-05	Paper
Partitioning inverse Monte Carlo iterative algorithm for finding the three smallest eigenpairs of generalized eigenvalue problem	2011-06-06	Paper
https://portal.mardi4nfdi.de/entity/Q3397465	2009-09-22	Paper

Research outcomes over time

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