Elham Dastranj

Associate Professor, Faculty of Mathematical Sciences

Ph.D. in pure Mathematics, Probability Theory

University: The University of Guilan
Research Interests: Stochastic differential equations, Financial mathematics, Point Process
Professional & Scientific Membership:
Awards & Patents:
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Scientometrics

Google Scholar
(Update: 2024-Mar-10)
139

Citations

6

h-index

4

i10-index

0

Co-authors

Scopus
(Update: 2024-Apr-20)
71

Citations

4

h-index

13

Co-authors

4

Documents

Courses Taught

Ph.D
Ms.c
Bs.c

Thesis

All Thesis (27)
Mahdiye Mohammadi (2023), " Neural networks in the Black-Scholes-Vasicek market", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors],
Mehran Araghi (2023), "Option pricing baxsed on Neural networks in the time-dependent Heston market", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors],
(2022), " Pricing of barrier option under several stochastic models in the Tehran Stock Exchange", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors],
Ahmad Mottahedi (2021), "Analytical solution for bond Pricing under exponential Vasicek model", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors],
Ensiyeh Nabizade (2020), "Option pricing under some time-dependent Heston models", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors],
Zeynab Yasini (2020), "A new method for option pricing via time fractional PDE", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Mohammad Mirbagherijam[Supervisor/Supervisors], Seyed Reza Hejazi[Advisor/ Advisors]
Hossein Sahebi Fard (2019), "Comparing of Power Option Pricing under Some Stochastic Volatility Models in Tehran Stock Exchange", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors], Seyed Reza Hejazi[Advisor/ Advisors]
Yasaman Azhdari (2019), "Analytical Solutions of Pricing for Options in a Mixed Fractional Hull-White Model Via Lie Symmetries", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors], Seyed Reza Hejazi[Advisor/ Advisors]
Azade Naderifard (2019), "Analyzing of fractional differential equations and their applications in solving of some equations in financial mathematics", Ph.D Thesis, Shahrood University Of Technology, Seyed Reza Hejazi[Supervisor/Supervisors], Elham Dastranj[Advisor/ Advisors]
Morteza Zia Khaloo (2018), "Hedging Option Pricing under Markovian Black-scholes Market", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors], Sayyed Mojtaba Mirlohi[Advisor/ Advisors]
Shiva Namazi (2017), "Locally risk minimizing option pricing under the Markovian incomplete markets", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Sayyed Mojtaba Mirlohi[Supervisor/Supervisors],
Raziyeh Askari (2017), "A fast and exact method for option pricing in a market under the double exponential jump model with stochastic volatility and stochastic intensity", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Sayyed Mojtaba Mirlohi[Supervisor/Supervisors], Somayeh Moghari[Advisor/ Advisors]
Maryam Lotfi (2017), "Pricing dynamic fund protections with regime switching", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Sayyed Mojtaba Mirlohi[Supervisor/Supervisors],
Mohammad Rameshgar (2017), "Insurance risk models with dependent premiums from the insurance company", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors], Mojtaba Ghiyasi[Advisor/ Advisors]
Amir Zandinasab (2017), "Bank Assets and liabilities management Using stochastic programming", Msc Thesis, Shahrood University Of Technology, Sayyed Mojtaba Mirlohi[Supervisor/Supervisors], Elham Dastranj[Advisor/ Advisors]
Roghaye Latifi (2016), "Valuation of Power Options under Heston’s Stochastic Volatility Model", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Farshid Mehrdoust[Supervisor/Supervisors], Zeynab Fatemi[Advisor/ Advisors]
Hadis Eesapour (2016), "The ruin probability of the insurance company in a market with compound poisson model", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors],
Faeze Shokri (2016), "Jump- Fraction process in pricing Asian Power Options", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors],
Seyed Hassan Eshaghi (2016), "Stochastic modeling for risk investments in the insurance industry", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors], Mojtaba Mirlohi[Advisor/ Advisors]
Hossein Mohammad Khani (2016), "A Martingale Representation for The Maximum of a Levy Process", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors],
Mojtaba Maleki (2015), "Lp Solutions of One-Dimensional Backward Stochastic Di erential Equations with Continuous Coecients", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors], Seyed Reza Hejazi[Advisor/ Advisors]
Atena Ebrahimbeygi (2015), "G-Brownian motion and Its Applications", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors],
Araz Mohammad Arazi (2015), "Modern Point Processes", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors],
Fatemeh Yazdi (2015), "Brownian Motion and Diffusion Processes", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors],
Nasrollah Arefkhani (2014), "A New Approach to the Lebesgue Integral", Msc Thesis, Shahrood University Of Technology, Kamran Sharifi, Elham Dastranj[Supervisor/Supervisors], Seyed Reza Musawi[Advisor/ Advisors]
Maryam Abbasi Ali Kamar (2013), "The strong law of large numbers for weighted sums of negative associated random variables", Msc Thesis, Shahrood University Of Technology, Ahmad Nezakati Rezazadeh[Supervisor/Supervisors], Elham Dastranj[Advisor/ Advisors]
Omar Koseh Gharravi (2013), "Almost Everywhere First-Return Recovery", Msc Thesis, Shahrood University Of Technology, Kamran Sharifi, Elham Dastranj[Supervisor/Supervisors], Seyed Reza Musawi[Advisor/ Advisors]

Publications

Journal Papers
Conference Papers
Book