Erfan Salavati - Amirkabir University of Technology

Supervised PhD Theses

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Thesis title

By

Date

1

sub-linear expected and application in finance

FARIBA POURRAHIMI

2025 Oct

Supervised MSc Theses

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Thesis title

By

Date

1

Options trading strategies using machine learning algoritms

MOHAMMADAMIN REZAZADEH & Ali Mohades Khorasani

2024 Oct

2

A new approach to discover security threats in smart contracts

AMIN HOSSEINI NOODEH

2024 Sep

3

Portfolio Selection Using Risk Measures and Reinforcement Learning

ZAHRA NEMATI

2024 Sep

4

Improving the Detection of Money Laundering Fraud in BitCoin Blockchain Network

SHAGHAYEGH AFHAM

2024 Sep

5

robust methods for portfolio selection

NASTARAN KOSARI

2024 Aug

6

portfolio selection under distribution ambiguity

MATIN ABEDI

2024 Aug

7

Hidden Markov Models and Their Applications in Finance

MOHAMMAD JAVAD NEMATOLLAHI

2024 Jul

8

Systemic Risk in Financial Networks with Central Institution

MARIWAN MAJEED & OMID NAGHSHINE ARJMAND

2024 Jun

9

Fractional Heston Model and Its Applications in Finance

NADER MALEKI

2024 Feb

10

A trading system model for Bitcoin trading based on sentiment analysis using neural networks (CNN, LSTM and GRU)

MEHDI ABBASZADEH

2023 Oct

11

option pricing using deep learning

HAMED HEMMATKHAH

2023 Sep

12

Financial risk management for cryptocurrencies using Scenario Analysis

MAHSA REZVANI

2023 Aug

13

Cryptocurrency Price Prediction with Gradient Boosting Approach

VAHID POUYA

2023 Jul

14

stock price prediction using sentiment analysis

FOUROUGH MOHAMADSADEGHPOURDIL

2023 Jul

15

exchange rate prediction using machine learning

MAHSA SABERI

2023 Mar

16

Price Prediction Of Cryptocurrencies Using Machine Learning

FATEME MIRZAABDOLLAHIHA

2023 Mar

17

Fractional Heston Model and Its Application in Option Pricing

ASGHAR FIROUZABADI

2023 Feb

18

Estimating and Forecasting Home Prices in Tehran

HOSSEIN ZIYADI

2022 Oct

19

Forecasting the stock price by machine learning methods

MAEDEH HOSSEINI

2022 Oct

20

Option Pricing, Using Optimal Transport Approach

AMINEH SHEKARAMIZ

2022 Jan

21

Portfolio selection, using hidden Markov models

MINA ROOSTAPOUR DEILAMANY

2021 Sep

22

Numerical investigation for option pricing with jump diffusion models using meshless methods

NIMA MOHAMADI

2021 Sep

23

Deep Learning in Pricing and Hedging

KASRA HOSSEINY

2021 Aug

24

Pricing participation option in collective pension funds

ABBAS KHANDAN

2021 Apr

25

Pricing Financial Derivative under time - change levy processes

MOJTABA HOSEINISOFLAEE

2021 Feb

26

Portfolio optimization problem under uncertainty

ZOHREH ANOUSHIRVANI & FARNAZ HOOSHMAND KHALIGH

2020 Oct

27

fractional stochastic volatility models and Applications in pricing

SAMIRA AMIRIYAN

2020 Oct

28

Asset Price forecasting Using Recrrent Neural Netwoks

HAMED VAHEB

2020 Jul

29

optimal execution strategies in limit order markets

HOSSEIN JAVDAN FARD

2020 Feb

30

Factor models in finance : testing and forecasting

ALIREZA FALLAHI

2020 Feb

31

The recovery theorem and its application in asset pricing

MOHAMMAD DAD SAAY & OMID NAGHSHINE ARJMAND

2019 Aug

32

Project Portfolio Selection using Conditional Value at Risk

BABAK KAMALI & OMID NAGHSHINE ARJMAND

2025 Sep

33

omputation of Optimal Transport and Related Hedging Problems via Penalization and Neural Networks

NEDA ZOMORODI & FARHAD FAKHARIZADI

2025 Mar

Journal Papers

1

MIRI CHESHMEH GACHI SADEGH ، Salavati Erfan ، Shamsi Mostafa ، Zare Mohammadkhani Mohammad, "Parameter Estimation for Tempered Stable Distributions Using Cumulant Matching", Fluctuation and Noise Letters, 2026 Feb vol. 25, no. 1, pp.2650013-1-2650013-17, 2026.

2

MIRI CHESHMEH GACHI SADEGH ، Salavati Erfan ، Shamsi Mostafa, "Robust Portfolio Selection Under Model Ambiguity Using Deep Learning", International Journal of Financial Studies, 2025 Mar vol. 13, no. 38, pp.1-18, 2025.

3

POURRAHIMI FARIBA ، Salavati Erfan ، MIRHASSANI S.ALI, "Stochastic differential equations with G-Brownian motion and monotone coefficients", Journal of Applied Mathematics and Computing, 2025 Jan vol. 2025, no. 1, pp.1-15, 2025.

4

NAGHSHINE ARJMAND OMID ، MAJEED MARIWAN ، Salavati Erfan, "Systemic Risk in Financial Networks with Two Central Institutions", Aut Journal of Mathematics and Computing, 2024 Oct vol. 6, no. 2, pp.11-18, 2024.

5

KARIMI NADER ، Salavati Erfan ، Hirbod Assa ، ADIBI HOJATOLLAH, "A stochastic optimal stopping model for storable commodity prices", Statistics and Probability Letters, 2023 Sep vol. 204, no. 1, pp.1-6, 2023.

6

ZAMANI MAJID ، VAEZPOUR SEYED MANSOUR ، Salavati Erfan, "On the pathwise uniqueness for a class of SPDEs driven by Lvy noise in Hilbert spaces", International Journal of Nonlinear Analysis and Applications, 2023 Apr vol. 14, no. 2, pp.1-13, 2023.

7

KARIMI NADER ، Salavati Erfan ، Hirbod Assa ، ADIBI HOJATOLLAH, "Sensitivity Analysis of Optimal Commodity Decision Making with Neural Networks: A Case for COVID-19", 3D Printing and Additive Manufacturing, 2023 Feb vol. 11, no. 5, pp.1-15, 2023.

8

KARIMI NADER ، Hirbod Assa ، Salavati Erfan ، ADIBI HOJATOLLAH, "Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods", Computational Economics, 2022 Aug vol. 60, no. 3, pp.1-19, 2022.

9

Salavati Erfan ، MOHSENI NAZANIN, "An Application of Stochastic Approximation in Simulated Method of Moments", Journal of Mathematics and Modeling In Finance, 2021 Sep vol. 1, no. 2, pp.57-72, 2021.

10

ZAREMOHAMMADKHANI MOHAMMAD ، NAGHSHINE ARJMAND OMID ، Salavati Erfan ، Mohammadpour Adel, "An Agent-Based Model and Detect Price Manipulation based on Intraday Transaction Data with Simulation", Applied Economics, 2021 Aug vol. 53, no. 43, pp.4931-4949, 2021.

11

ZAMANI MAJID ، VAEZPOUR SEYED MANSOUR ، Salavati Erfan, "Existence and Uniqueness for a Class of SPDEs Driven by Levy Noise in Hilbert Spaces", Sahand Communications In Mathematical Analysis, 2021 Jun vol. 18, no. 3, pp.51-68, 2021.

12

FALLAHI ALIREZA ، Salavati Erfan ، Mohammadpour Adel, "Sufficient Forecasting for Sub-Gaussian Processes Using Factor Models", Fluctuation and Noise Letters, 2021 May vol. 20, no. 3, pp.1-11, 2021.

13

Salavati Erfan, "An extension of the Cardioid distributions on circle", .Aut Journal of Mathematics and Computing, 2021 Feb vol. 2, no. 1, pp.45-52, 2021.

14

ZAREMOHAMMADKHANI MOHAMMAD ، NAGHSHINE ARJMAND OMID ، Salavati Erfan ، Mohammadpour Adel, "An Agent Based Model for Limit Order Book: Estimation and Simulation", International Journal of Finance and Economics, 2020 Jun vol. 0, no. 0, , 2020.

15

Salavati Erfan ، Bijan Z. Zangeneh, "Stochastic evolution equations with multiplicative Poisson noise and monotone nonlinearity", Bulletin of The Iranian Mathematical Society, 2017 Nov vol. 43, no. 5, pp.1287-1299, 2017.

16

Salavati Erfan, "An extension of the Yamada-Watanabe theorem", Mathematical Methods In The Applied Sciences, 2017 Jul vol. 0, no. 0, , 2017.

17

Salavati Erfan, "On Projections of Measures", Journal of Fundamental and Applied Sciences, 2016 Feb vol. 8, no. 2, pp.2366-2373, 2016.

Conference Papers

1

Salavati Erfan ، HOSSEINI MAEDEH, "Predicting Stock Price Direction Using Machine Learning Methods,", 7th Seminar of Mathematics and Humanities (Financial Mathematics), May 2022.

2

KARIMI NADER ، Hirbod Assa ، Salavati Erfan ، ADIBI HOJATOLLAH, "Optimal trading strategy from an agricultural producer perspective: Calibration and regularization,", The 7th FINACT-IRAN National Conference on Financial and Actuarial Mathematics, Aug 2021.

3

AMIRIYAN SAMIRA ، Salavati Erfan, "Option Pricing in the Fractional Stochastic Volatility Models Using Malliavin Calculus,", 52nd Annual Iranian Mathematics Conference, Aug 2021.

4

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

5

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

6

KARIMI NADER ، Hirbod Assa ، Salavati Erfan, "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 Financialand Actuarial Mathematics, Feb 2020.

7

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

8

AMIRIYAN SAMIRA ، Salavati Erfan, "Fractional Stochastic Volatility Models and Applications in Pricing,", The 6 th FINACT-IRAN National Conference and 4 th Workshop on Financialand Actuarial Mathematics, Feb 2020.

9

FALLAHI ALIREZA ، Salavati Erfan ، Mohammadpour Adel, "S&P500 Stock Selection via Factor Analysis and Principal Component Analysis,", The 6 th FINACT-IRAN National Conference and 4 th Workshop on Financialand Actuarial Mathematics, Feb 2020.

10

MAADANI HAMID ، Mohammadpour Adel ، Salavati Erfan, "A Black-Litterman Model Using LINEX Loss Function,", The 21th workshop on APPLIED STOCHASTIC PROCESSES Alzahra university November 19-21 2019, Nov 2019.

11

Mohammadpour Adel ، MAADANI HAMID ، Salavati Erfan, "A Black-Litterman Model Using LINEX Loss Function,", The 21th workshop on APPLIED STOCHASTIC PROCESSES Alzahra university November 19-21 2019, Nov 2019.

12

FALLAHI ALIREZA ، Salavati Erfan, "Sufficient nonlinear forecasting using factor models,", Vienna Congress on Mathematical Finance, Sep 2019.

13

SHEKARAMIZ AMINEH ، Salavati Erfan, "Contagion in Financial Networks,", The 12th Seminar On Probability and Random Processes, Aug 2019.

14

SHEKARAMIZ AMINEH ، Salavati Erfan, "A Generalized Martingale Transport Problem and its Application in Option Pricing,", The 12th Seminar On Probability and Random Processes, Aug 2019.

15

SHEKARAMIZ AMINEH ، Salavati Erfan, "Contagion in Financial Networks,", The 50th Annual Iranian Mathematics Conference, Aug 2019.

16

SHEKARAMIZ AMINEH ، Salavati Erfan, "A Generalized Martingale Transport Problem and it's Application in Option Pricing,", The 50th Annual Iranian Mathematics Conference, Aug 2019.

17

Salavati Erfan, "An Extension of the Cardioid Distributions on Circle,", The 50th Annual Iranian Mathematics Conference, Aug 2019.

18

AMIRIYAN SAMIRA ، Salavati Erfan, "Pricing European Options in Fractional Stochastic Volatility Model,", The 12th Seminar On Probability and Random Processes, Aug 2019.

19

Salavati Erfan ، SHEKARAMIZ AMINEH, "A Generalized Martingale Transport Problem and its Application in Option Pricing,", 4th Conference on Financial Mathematics and Applications, Jun 2019.

20

SHEKARAMIZ AMINEH ، Salavati Erfan, "Contagion in Financial Networks,", 4th Conference on Financial Mathematics and Applications, Jun 2019.

21

Salavati Erfan ، SHEKARAMIZ AMINEH, "Subhedging of compound options, using optimal mass transport,", The 5th finact-iran conference on financial and actuarial mathematics, Dec 2018.

22

JAVDAN FARD HOSSEIN ، Salavati Erfan, "Equilibrium of Competing Large Traders in an Order Book,", The 5th finact-iran conference on financial and actuarial mathematics, Dec 2018.

23

Salavati Erfan ، HAJIMAZDARANI MAHSAN ، SHEKARAMIZ AMINEH, "Contagion in Financial Networks,", The 5th finact-iran conference on financial and actuarial mathematics, Dec 2018.

24

Salavati Erfan ، EBRAHIMI SEYEDEH NILOOFAR ، VAHIDI ASGARI AMIRSALAR, "Credit risk of bank loan case study in iran,", The 5th finact-iran conference on financial and actuarial mathematics, Dec 2018.

25

FALLAHI ALIREZA ، Salavati Erfan, "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, Dec 2018.

26

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

27

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

28

ZAREMOHAMMADKHANI MOHAMMAD ، NAGHSHINE ARJMAND OMID ، Salavati Erfan, "modeling of financial bubbles in stock market,", 19th workshop on applied stochastic processes, Nov 2017.

29

NAGHSHINE ARJMAND OMID ، Salavati Erfan ، ZAREMOHAMMADKHANI MOHAMMAD, "Detecting Bubbles in Tehran Stock Exchange,", Modern Methods in Insurance Pricing and Industrial Statistics, Sep 2017.

30

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

31

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

32

NAGHSHINE ARJMAND OMID ، Salavati Erfan ، ZAREMOHAMMADKHANI MOHAMMAD, "Detecting Bubbles in Iran Stock Market,", 4th FINACT-IRAN Conference on Financial and Actuarial Mathematics, Jul 2017.

33

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

34

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

Taught Courses

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Course title

Description

Headlines

Date

1

Statistical Methods for Finance

4002

2

Game Theory

4002

3

Topics in Mathematics & Its Applications

4002

4

Stochastic Processes (I)

4002

5

Fixed-Income Financial Markets

4001

6

Mathematical Finance2

4001

7

Mathematical Finance 1

4001

8

Numerical Linear Algebra

4001

9

Statistical Methods for Finance

3992

10

Partial Differrential Equations

3992

11

Stochastic Processes (I)

3992

12

Mathematical Finance2

3991

13

Mathematical Finance 1

3991

14

Numerical Linear Algebra

3991