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
Other Supervisor: S.ALI MIRHASSANI

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
Other Supervisor:

2024 Oct

2

A new approach to discover security threats in smart contracts

AMIN HOSSEINI NOODEH
Other Supervisor: S.ALIREZA HASHEMI GOLPAYEGANY

2024 Sep

3

Portfolio Selection Using Risk Measures and Reinforcement Learning

ZAHRA NEMATI
Other Supervisor: OMID NAGHSHINE ARJMAND

2024 Sep

4

Improving the Detection of Money Laundering Fraud in BitCoin Blockchain Network

SHAGHAYEGH AFHAM
Other Supervisor: M.HASSAN SHIRALI-SHAHREZA

2024 Sep

5

robust methods for portfolio selection

NASTARAN KOSARI
Other Supervisor: Ehsan Hajizadeh

2024 Aug

6

portfolio selection under distribution ambiguity

MATIN ABEDI
Other Supervisor: OMID NAGHSHINE ARJMAND

2024 Aug

7

Hidden Markov Models and Their Applications in Finance

MOHAMMAD JAVAD NEMATOLLAHI
Other Supervisor: Mostafa Abbaszadeh

2024 Jul

8

Systemic Risk in Financial Networks with Central Institution

MARIWAN MAJEED & OMID NAGHSHINE ARJMAND
Other Supervisor:

2024 Jun

9

Fractional Heston Model and Its Applications in Finance

NADER MALEKI
Other Supervisor: MEHDI DEHGHAN

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
Other Supervisor: Mostafa Abbaszadeh

2023 Sep

12

Financial risk management for cryptocurrencies using Scenario Analysis

MAHSA REZVANI

2023 Aug

13

stock price prediction using sentiment analysis

FOUROUGH MOHAMADSADEGHPOURDIL
Other Supervisor: OMID NAGHSHINE ARJMAND

2023 Jul

14

Cryptocurrency Price Prediction with Gradient Boosting Approach

VAHID POUYA

2023 Jul

15

exchange rate prediction using machine learning

MAHSA SABERI
Other Supervisor: Mostafa Abbaszadeh

2023 Mar

16

Price Prediction Of Cryptocurrencies Using Machine Learning

FATEME MIRZAABDOLLAHIHA
Other Supervisor: FARHAD FAKHARIZADI

2023 Mar

17

Fractional Heston Model and Its Application in Option Pricing

ASGHAR FIROUZABADI
Other Supervisor: OMID NAGHSHINE ARJMAND

2023 Feb

18

Estimating and Forecasting Home Prices in Tehran

HOSSEIN ZIYADI
Other Supervisor: Mohammad Mahdi Lotfi Heravi

2022 Oct

19

Forecasting the stock price by machine learning methods

MAEDEH HOSSEINI
Other Supervisor: FARNAZ HOOSHMAND KHALIGH

2022 Oct

20

Option Pricing, Using Optimal Transport Approach

AMINEH SHEKARAMIZ
Other Supervisor: Esmaile Khorram

2022 Jan

21

Portfolio selection, using hidden Markov models

MINA ROOSTAPOUR DEILAMANY
Other Supervisor: HOJATOLLAH ADIBI

2021 Sep

22

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

NIMA MOHAMADI
Other Supervisor: OMID NAGHSHINE ARJMAND

2021 Sep

23

Deep Learning in Pricing and Hedging

KASRA HOSSEINY
Other Supervisor: OMID NAGHSHINE ARJMAND

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
Other Supervisor: HOJATOLLAH ADIBI

2021 Feb

26

Portfolio optimization problem under uncertainty

ZOHREH ANOUSHIRVANI & FARNAZ HOOSHMAND KHALIGH
Other Supervisor:

2020 Oct

27

fractional stochastic volatility models and Applications in pricing

SAMIRA AMIRIYAN
Other Supervisor: OMID NAGHSHINE ARJMAND

2020 Oct

28

Asset Price forecasting Using Recrrent Neural Netwoks

HAMED VAHEB
Other Supervisor: Mina Aminghafari

2020 Jul

29

optimal execution strategies in limit order markets

HOSSEIN JAVDAN FARD
Other Supervisor: OMID NAGHSHINE ARJMAND

2020 Feb

30

Factor models in finance : testing and forecasting

ALIREZA FALLAHI
Other Supervisor: Adel Mohammadpour

2020 Feb

31

The recovery theorem and its application in asset pricing

MOHAMMAD DAD SAAY & OMID NAGHSHINE ARJMAND
Other Supervisor:

2019 Aug

32

Project Portfolio Selection using Conditional Value at Risk

BABAK KAMALI & OMID NAGHSHINE ARJMAND
Other Supervisor:

2025 Sep

33

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

NEDA ZOMORODI & FARHAD FAKHARIZADI
Other Supervisor:

2025 Mar

Journal Papers

1

S. Miri Cheshmeh Gachi, E. Salavati, M. Shamsi, "Robust Portfolio Selection Under Model Ambiguity Using Deep Learning", International Journal of Financial Studies, 2025 Mar vol. 13, no. 38, pp.1-18, 2025.

2

F. Pourrahimi, E. Salavati, S. Mirhassani, "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.

3

O. Naghshine Arjmand, M. Majeed, E. Salavati, "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.

4

N. Karimi, E. Salavati, Hirbod Assa, H. Adibi, "A stochastic optimal stopping model for storable commodity prices", Statistics and Probability Letters, 2023 Sep vol. 204, no. 1, pp.1-6, 2023.

5

M. Zamani, S.M. Vaezpour, E. Salavati, "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.

6

N. Karimi, E. Salavati, Hirbod Assa, H. Adibi, "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.

7

N. Karimi, Hirbod Assa, E. Salavati, H. Adibi, "Calibration of Storage Model by Multi-Stage Statistical and Machine Learning Methods", Computational Economics, 2022 Aug vol. 60, no. 3, pp.1-19, 2022.

8

E. Salavati, N. Mohseni, "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.

9

M. Zaremohammadkhani, O. Naghshine Arjmand, E. Salavati, A. Mohammadpour, "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.

10

M. Zamani, S.M. Vaezpour, E. Salavati, "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.

11

A. Fallahi, E. Salavati, A. Mohammadpour, "Sufficient Forecasting for Sub-Gaussian Processes Using Factor Models", Fluctuation and Noise Letters, 2021 May vol. 20, no. 3, pp.1-11, 2021.

12

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

13

M. Zaremohammadkhani, O. Naghshine Arjmand, E. Salavati, A. Mohammadpour, "An Agent Based Model for Limit Order Book: Estimation and Simulation", International Journal of Finance and Economics, 2020 Jun vol. 0, no. 0, , 2020.

14

E. Salavati, 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.

15

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

16

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

Numerical Linear Algebra

4001

6

Mathematical Finance 1

4001

7

Mathematical Finance2

4001

8

Fixed-Income Financial Markets

4001

9

Stochastic Processes (I)

3992

10

Partial Differrential Equations

3992

11

Statistical Methods for Finance

3992

12

Mathematical Finance2

3991

13

Numerical Linear Algebra

3991

14

Mathematical Finance 1

3991