عرفان صلواتی - دانشگاه صنعتی امیرکبیر

Mohammad Zaremohammadkhani, Omid Naghshine Arjmand, Erfan Salavati, Adel Mohammadpour, "An Agent Based Model for Limit Order Book: Estimation and Simulation", INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Vol. 0, Num. 0, Page 0-0, June 2020,

Erfan Salavati, Bijan Z. Zangeneh, "Stochastic evolution equations with multiplicative Poisson noise and monotone nonlinearity", BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY, Vol. 43, Num. 5, Page 1287-1299, November 2017,

Erfan Salavati, "An extension of the Yamada-Watanabe theorem", MATHEMATICAL METHODS IN THE APPLIED SCIENCES, Vol. 0, Num. 0, Page 0-0, July 2017,

Erfan Salavati, "On Projections of Measures", Journal of Fundamental and Applied Sciences, Vol. 8, Num. 2, Page 2366-2373, February 2016,

مقالات کنفرانس

داده های ثبت شده در پورتال

Erfan Salavati, Mahnaz Manteghipour, "Improving Chain-Ladder Method Using Count of Issued Policies ", 4th Conference on Advances in Enterprise Architecture, November 2020

Erfan Salavati, "Mean Field Games in Finance ", The 6 th FINACT-IRAN National Conference and 4 th Workshop on Financial and Actuarial Mathematics, February 2020

, Erfan Salavati, "Optimazation portfolio under uncertain condition ", The 6 th FINACT-IRAN National Conference and 4 th Workshop on Financial and Actuarial Mathematics, February 2020

Samira Amiriyan, Erfan Salavati, "Fractional Stochastic Volatility Models and Applications in Pricing ", The 6 th FINACT-IRAN National Conference and 4 th Workshop on Financial and Actuarial Mathematics, February 2020

Alireza Fallahi, Erfan Salavati, "Sufficient nonlinear forecasting using factor models ", Vienna Congress on Mathematical Finance, September 2019

Amineh Shekaramiz, Erfan Salavati, "A Generalized Martingale Transport Problem and its Application in Option Pricing ", The 12th Seminar On Probability and Random Processes, August 2019

Samira Amiriyan, Erfan Salavati, "Pricing European Options in Fractional Stochastic Volatility Model ", The 12th Seminar On Probability and Random Processes, August 2019

Amineh Shekaramiz, Erfan Salavati, "Contagion in Financial Networks ", The 12th Seminar On Probability and Random Processes, August 2019

Erfan Salavati, Amineh Shekaramiz, "A Generalized Martingale Transport Problem and its Application in Option Pricing ", 4th Conference on Financial Mathematics and Applications, June 2019

Amineh Shekaramiz, Erfan Salavati, "Contagion in Financial Networks ", 4th Conference on Financial Mathematics and Applications, June 2019

Alireza Fallahi, Erfan Salavati, "A Sufficient Forecasting Method Using Factor Models and its Application to Iranian Macroeconomic Indices ", The 5th FINACT-IRAN National Conference on Financial and Actuarial Mathematics, December 2018

Erfan Salavati, Mahsan Hajimazdarani, Amineh Shekaramiz, "Contagion in Financial Networks ", The 5th finact-iran conference on financial and actuarial mathematics, December 2018

Hossein Javdan Fard, Erfan Salavati, "Equilibrium of Competing Large Traders in an Order Book ", The 5th finact-iran conference on financial and actuarial mathematics, December 2018

Amirsalar Vahidi Asgari, Erfan Salavati, Seyedeh Niloofar Ebrahimi, "Credit risk of bank loan case study in iran ", The 5th finact-iran conference on financial and actuarial mathematics, December 2018

Erfan Salavati, Amineh Shekaramiz, "Subhedging of compound options, using optimal mass transport ", The 5th finact-iran conference on financial and actuarial mathematics, December 2018

Erfan Salavati, "Stochastic Differential Equations with Discontinuous Coefficients ", 20th Workshop on Applied Stochastic Processes, April 2018

Kasra Alishahi, Erfan Salavati, "Strong Coupling Property for Markov Processes ", 19th Workshop on Applied Stochastic Processes, November 2017

Omid Naghshine Arjmand, Erfan Salavati, Mohammad Zaremohammadkhani, "Detecting Bubbles in Tehran Stock Exchange ", Modern Methods in Insurance Pricing and Industrial Statistics, September 2017

Erfan Salavati, "Current Trends in Portfolio Optimization ", New Challenges in Applied Mathematics, August 2017

Erfan Salavati, "Collocation Method for Random Ordinary Differential Equations with Boundary Values ", 11th Seminar on Probability and Stochastic Processes, August 2017

Erfan Salavati, "Collocation Method for Stochastic Partial Differential Equations ", 18th Workshop On Applied Stochastic Processes, May 2017

Erfan Salavati, "An Extension of the Yamada-Watanabe Theorem on One-dimensional SDEs ", 13th International Seminar on Differential Equations, Dynamical Systems and Applications, July 2016

دروس ارائه شده

عنوان درس

توصیف درس

سرفصل ها

دوره درسی

Mathematical Finance 1

Introduction to financial concepts and mathematical models in finance: present value analysis, discrete models of price, arbitrage, risk-neutral valuation

Fall 2020

Numerical Linear Algebra

Introduction and Analysis of Computational Algorithms for Matrix and Linear Algebraic Problems

Fall 2020

Mathematical Finance2

Introduction to stochastic models in finance: Brownian motion, Black-Scholes model and equation, replication of contracts, risk-neutral valuation, credit risk modeling

Fall 2020

Malliavin Calculus and Applications to Finance

Wiener chaos expansion, multiple Ito integral, Malliavin derivative and their applications in mathematical finance

Spring 2020

Stochastic Processes (I)

Understanding the concept of stochastic processes and developing the ability of modelling and computation with them

Spring 2020

Partial Differrential Equations

Introduction to modelling, methods of solution and theory of partial differential equations

Spring 2020

Mathematical Finance2

Introduction to stochastic models in finance: Brownian motion, Black-Scholes model and equation, replication of contracts, risk-neutral valuation, credit risk modeling

Fall 2019

Mathematical Finance 1

Introduction to financial concepts and mathematical models in finance: present value analysis, discrete models of price, arbitrage, risk-neutral valuation

Fall 2019

Lévy Processes in Mathematical Finance

Stable Distributions, Infinitely divisible distributions, Levy-Khintchine representation, Independent increment processes, Wiener process, Poisson Process, Levy-Ito decomposition, Applications in Finance

Fall 2019