Erfan Salavati
Assistant Professor
Department of Mathematics and Computer Science
Pure Mathematics
Department of Mathematics and Computer Science
Pure Mathematics
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Email:
erfan.salavati
aut.ac.ir
aut.ac.irPhone:
+98 (21) 6454-5661
h-index (Scopus):
2
Citations (Scopus):
10
Supervised MSc Theses
#
Thesis title
By
Date
1
Fractional Heston Model and Its Applications in Finance
Nader Maleki & Erfan Salavati
February 2024
2
A trading system model for Bitcoin trading based on sentiment analysis using neural networks (CNN, LSTM and GRU)
Mehdi Abbaszadeh & Erfan Salavati
October 2023
3
option pricing using deep learning
Hamed Hemmatkhah & Erfan Salavati
September 2023
4
Financial risk management for cryptocurrencies using Scenario Analysis
Mahsa Rezvani & Erfan Salavati
August 2023
5
Cryptocurrency Price Prediction with Gradient Boosting Approach
Vahid Pouya & Erfan Salavati
July 2023
6
stock price prediction using sentiment analysis
Fourough Mohamadsadeghpourdil & Erfan Salavati
July 2023
7
exchange rate prediction using machine learning
Mahsa Saberi & Erfan Salavati
March 2023
8
Price Prediction Of Cryptocurrencies Using Machine Learning
Fateme Mirzaabdollahiha & Erfan Salavati
March 2023
9
Fractional Heston Model and Its Application in Option Pricing
Asghar Firouzabadi & Erfan Salavati
February 2023
10
Estimating and Forecasting Home Prices in Tehran
Hossein Ziyadi & Erfan Salavati
October 2022
11
Forecasting the stock price by machine learning methods
Maedeh Hosseini & Erfan Salavati
October 2022
12
Option Pricing, Using Optimal Transport Approach
Amineh Shekaramiz & Erfan Salavati
January 2022
13
Numerical investigation for option pricing with jump diffusion models using meshless methods
Nima Mohamadi & Erfan Salavati
September 2021
14
Portfolio selection, using hidden Markov models
Mina Roostapour Deilamany & Erfan Salavati
September 2021
15
Deep Learning in Pricing and Hedging
Kasra Hosseiny & Erfan Salavati
August 2021
16
Pricing participation option in collective pension funds
Abbas Khandan & Erfan Salavati
April 2021
17
Pricing Financial Derivative under time - change levy processes
Mojtaba Hoseinisoflaee & Erfan Salavati
February 2021
18
Portfolio optimization problem under uncertainty
Zohreh Anoushirvani & Erfan Salavati
October 2020
19
fractional stochastic volatility models and Applications in pricing
Samira Amiriyan & Erfan Salavati
October 2020
20
Asset Price forecasting Using Recrrent Neural Netwoks
Hamed Vaheb & Erfan Salavati
July 2020
21
Factor models in finance : testing and forecasting
Alireza Fallahi & Erfan Salavati
February 2020
22
optimal execution strategies in limit order markets
Hossein Javdan Fard & Erfan Salavati
February 2020
23
The recovery theorem and its application in asset pricing
Mohammad Dad Saay & Erfan Salavati
August 2019
Journal Papers
Portal Records
1
Nader Karimi, Erfan Salavati, Hirbod Assa, Hojatollah Adibi, "A stochastic optimal stopping model for storable commodity prices", STATISTICS & PROBABILITY LETTERS, September 2023
Vol. 204,
Num. 1,
Page 1-6,
September 2023,
2
Majid Zamani, Seyed Mansour Vaezpour, Erfan Salavati, "On the pathwise uniqueness for a class of SPDEs driven by Lévy noise in Hilbert spaces", International Journal of Nonlinear Analysis and Applications, April 2023
Vol. 14,
Num. 2,
Page 1-13,
April 2023,
3
Nader Karimi, Erfan Salavati, Hirbod Assa, Hojatollah Adibi, "Sensitivity Analysis of Optimal Commodity Decision Making with Neural Networks: A Case for COVID-19", 3D Printing and Additive Manufacturing, February 2023
Vol. 11,
Num. 5,
Page 1-15,
February 2023,
4
Nader Karimi, Hirbod Assa, Erfan Salavati, Hojatollah Adibi, "Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods", COMPUTATIONAL ECONOMICS, August 2022
Vol. 60,
Num. 3,
Page 1-19,
August 2022,
5
Erfan Salavati, Nazanin Mohseni, "An Application of Stochastic Approximation in Simulated Method of Moments", Journal of Mathematics and Modeling in Finance (JMMF), September 2021
Vol. 1,
Num. 2,
Page 57-72,
September 2021,
6
Mohammad Zaremohammadkhani, Omid Naghshine Arjmand, Erfan Salavati, Adel Mohammadpour, "An Agent-Based Model and Detect Price Manipulation based on Intraday Transaction Data with Simulation", APPLIED ECONOMICS, August 2021
Vol. 53,
Num. 43,
Page 4931-4949,
August 2021,
7
Majid Zamani, Seyed Mansour Vaezpour, Erfan Salavati, "Existence and Uniqueness for a Class of SPDEs Driven by Levy Noise in Hilbert Spaces", SAHAND COMMUNICATIONS IN MATHEMATICAL ANALYSIS, June 2021
Vol. 18,
Num. 3,
Page 51-68,
June 2021,
8
Alireza Fallahi, Erfan Salavati, Adel Mohammadpour, "Sufficient Forecasting for Sub-Gaussian Processes Using Factor Models", FLUCTUATION AND NOISE LETTERS, May 2021
Vol. 20,
Num. 3,
Page 1-11,
May 2021,
9
Erfan Salavati, "An extension of the Cardioid distributions on circle", AUT Journal of Mathematics and Computing, February 2021
Vol. 2,
Num. 1,
Page 45-52,
February 2021,
10
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, June 2020
Vol. 0,
Num. 0,
Page 0-0,
June 2020,
11
Erfan Salavati, Bijan Z. Zangeneh, "Stochastic evolution equations with multiplicative Poisson noise and monotone nonlinearity", BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY, November 2017
Vol. 43,
Num. 5,
Page 1287-1299,
November 2017,
12
Erfan Salavati, "An extension of the Yamada-Watanabe theorem", MATHEMATICAL METHODS IN THE APPLIED SCIENCES, July 2017
Vol. 0,
Num. 0,
Page 0-0,
July 2017,
13
Erfan Salavati, "On Projections of Measures", Journal of Fundamental and Applied Sciences, February 2016
Vol. 8,
Num. 2,
Page 2366-2373,
February 2016,
Conference Papers
Portal Records
1
Erfan Salavati, Maedeh Hosseini, "Predicting Stock Price Direction Using Machine Learning Methods ", 7th Seminar of Mathematics and Humanities (Financial Mathematics), May 2022
2
Samira Amiriyan, Erfan Salavati, "Option Pricing in the Fractional Stochastic Volatility Models Using Malliavin Calculus ", 52nd Annual Iranian Mathematics Conference, August 2021
3
Nader Karimi, Hirbod Assa, Erfan Salavati, Hojatollah Adibi, "Optimal trading strategy from an agricultural producer perspective: Calibration and regularization ", The 7th FINACT-IRAN National Conference on Financial and Actuarial Mathematics, August 2021
4
Erfan Salavati, Mahnaz Manteghipour, "Improving Chain-Ladder Method Using Count of Issued Policies ", 4th Conference on Advances in Enterprise Architecture, November 2020
5
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
6
Alireza Fallahi, Erfan Salavati, Adel Mohammadpour, "S&P500 Stock Selection via Factor Analysis and Principal Component Analysis ", The 6 th FINACT-IRAN National Conference and 4 th Workshop on Financial
and Actuarial Mathematics, February 2020
7
, 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
8
Nader Karimi, Hirbod Assa, Erfan Salavati, "An Investigation of Demand for Agricultural Commodities in the Presence of Future Markets ", The 6 th FINACT-IRAN National Conference and 4 th Workshop on Financial
and Actuarial Mathematics, February 2020
9
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
10
Hamid Maadani, Adel Mohammadpour, Erfan Salavati, "A Black-Litterman Model Using LINEX Loss Function ", The 21th workshop on APPLIED STOCHASTIC PROCESSES Alzahra university November 19-21 2019, November 2019
11
Alireza Fallahi, Erfan Salavati, "Sufficient nonlinear forecasting using factor models ", Vienna Congress on Mathematical Finance, September 2019
12
Amineh Shekaramiz, Erfan Salavati, "Contagion in Financial Networks ", The 50th Annual Iranian Mathematics Conference, August 2019
13
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
14
Amineh Shekaramiz, Erfan Salavati, "A Generalized Martingale Transport Problem and it’s Application in Option Pricing ", The 50th Annual Iranian Mathematics Conference, August 2019
15
Erfan Salavati, "An Extension of the Cardioid Distributions on Circle ", The 50th Annual Iranian Mathematics Conference, August 2019
16
Amineh Shekaramiz, Erfan Salavati, "Contagion in Financial Networks ", The 12th Seminar On Probability and Random Processes, August 2019
17
Samira Amiriyan, Erfan Salavati, "Pricing European Options in Fractional Stochastic Volatility Model ", The 12th Seminar On Probability and Random Processes, August 2019
18
Erfan Salavati, Amineh Shekaramiz, "A Generalized Martingale Transport Problem and its Application in Option Pricing ", 4th Conference on Financial Mathematics and Applications, June 2019
19
Amineh Shekaramiz, Erfan Salavati, "Contagion in Financial Networks ", 4th Conference on Financial Mathematics and Applications, June 2019
20
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
21
Erfan Salavati, Mahsan Hajimazdarani, Amineh Shekaramiz, "Contagion in Financial Networks ", The 5th finact-iran conference on financial and actuarial mathematics, December 2018
22
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
23
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
24
Erfan Salavati, Amineh Shekaramiz, "Subhedging of compound options, using optimal mass transport ", The 5th finact-iran conference on financial and actuarial mathematics, December 2018
25
Erfan Salavati, "Stochastic Differential Equations with Discontinuous Coefficients ", 20th Workshop on Applied Stochastic Processes, April 2018
26
Kasra Alishahi, Erfan Salavati, "Strong Coupling Property for Markov Processes ", 19th Workshop on Applied Stochastic Processes, November 2017
27
Omid Naghshine Arjmand, Erfan Salavati, Mohammad Zaremohammadkhani, "Detecting Bubbles in Tehran Stock Exchange ", Modern Methods in Insurance Pricing and Industrial Statistics, September 2017
28
Erfan Salavati, "Current Trends in Portfolio Optimization ", New Challenges in Applied Mathematics, August 2017
29
Erfan Salavati, "Collocation Method for Random Ordinary Differential Equations with Boundary Values ", 11th Seminar on Probability and Stochastic Processes, August 2017
30
Omid Naghshine Arjmand, Erfan Salavati, Mohammad Zaremohammadkhani, "Detecting Bubbles in Iran Stock Market ", 4th FINACT-IRAN Conference on Financial and Actuarial Mathematics, July 2017
31
Erfan Salavati, "Collocation Method for Stochastic Partial Differential Equations ", 18th Workshop On Applied Stochastic Processes, May 2017
32
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