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-Sep-23)

159

Citations

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Co-authors

Scopus

(Update: 2024-May-07)

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Documents

Courses Taught

Ph.D

Stochastic Analysis

Ms.c

Real Analysis
Financial mathematics
Stochastic processes
Probability Theory

Bs.c

Probability And Statistic
Mathematical Analysis
Calculus
Differential Equations
Measure Theory

Thesis

All Thesis (30)

By: Mohammad Hossein Seifi (2024), " Conservation laws and new solutions for option pricing under some non-linear markets", Msc Thesis, Shahrood University Of Technology, Abdolhamdi Abodlbaghi Ataabadi, Elham Dastranj[Supervisor/Supervisors],

Amir Basavan (2024), " Design and simulation of five-level packed U cell (PUC) grid connected inverter with the aim of maximum power point tracking (MPPT) of the solar panel.", Msc Thesis, Shahrood University Of Technology, Elham Dastranj[Supervisor/Supervisors], Hossein Gholizade-Narm[Advisor/ Advisors]

Niloofar Pourkhosravi (2024), "Bond pricing in the stochastic interest rate markets", Msc Thesis, Shahrood University Of Technology, Elham Dastranj, Abdolhamdi Abodlbaghi Ataabadi[Supervisor/Supervisors],

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 Dierential 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

"A new random appeoach to the Lebesgue integral", International Journal of Applied Mathematics, 0, 0, -, 2013-01-01
"New Solution for Fokker-Plank Equation of Special Stochastic Process with Lie Point Symmetries", Computational Methods for Differential Equations, 1, 1, 30-42
"A new random approach to the Lebesgue integral", International Journal of Applied Mathematics, 6, 6, 695-699
"The Pricing of Binary Options in a Financial Market with Stochastic Analysis Tools", International Economic Society Eurosian Consultants, 3, 3, -, 2017-01-01
"OPTION PRICING UNDER THE DOUBLE STOCHASTIC VOLATILITY WITH DOUBLE JUMP MODEL", Computational Methods for Diferential Equations, 0, 0, -, 2017-01-01
"Local Risk Minimizing Option in a Regime-switching Double Heston Model", Dynamic systems and applications, 0, 0, -, 2017-05-13
"An approach to integral w.r.t. measure through random sums", Dynamic systems and applications, 0, 0, -, 2014-01-01
"A new method for option pricing via time-fractional PDE", Asian-European Journal of Mathematics, 0, 0, 1850074-
"Conservation laws of (3+α)-dimensional time-fractional diffusion equation", Computers & Mathematics with Applications, 0, 0, -, 2017-10-28
"Approximate symmetry analysis of nonlinear Rayleigh-wave equation", INTERNATIONAL JOURNAL OF GEOMETRIC METHODS IN MODERN PHYSICS, 0, 0, 1850055-18
"Symmetry properties, conservation laws and exact solutions of time-fractional Irrigation equation", Waves in Random and Complex Media., 1, 1, -
"A comparison of option pricing models", International Journal of Financial Engineering, 2, 2, 17500241-17500252
"New Solutions for Fokker-Plank Equation of‎ ‎Special Stochastic Process via Lie Point Symmetries", Computational Methods for Diferential Equations, 1, 1, 30-42, 2017-03-30
"CONSERVATION LAWS OF THE TIME-FRACTIONAL ZAKHAROV-KUZNETSOV-BURGERS EQUATION", Kragujevac Journal of Mathematics, 1, 1, 75-88
"Exact solutions for time-fractional Fokker–Planck–Kolmogorov equation of Geometric Brownian motion via Lie point symmetries", International Journal of Financial Engineering, 2, 2, 1-15, 2018-11-02
"Lie symmetry analysis, conservation laws and numerical approximations of time-fractional Fokker–Planck equations for special stochastic process in foreign exchange markets", Physica A: Statistical Mechanics and Its Applications, 25, 25, 750-763, 2018-08-22
"Symmetry operators and exact solutions of a type of time-fractional Burgers–KdV equation", INTERNATIONAL JOURNAL OF GEOMETRIC METHODS IN MODERN PHYSICS, 0, 0, 1950032-
"Exact solutions for Fokker-Plank equation of geometric Brownian motion with lie point symmetries", Computational Methods for Differential Equations, 3, 3, 372-379, 2018-12-19
"Power option pricing under the unstable conditions (Evidence of power option pricing under fractional Heston model in the Iran gold market)", PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 31, 31, 122690-
"Exact Solutions and Numerical Simulations of Time-Fractional Fokker-Plank Equation for Special Stochastic Process", Computational Methods for Differential Equations, 1, 1, 258-272, 2021-02-03
"Numerical approximations for time-fractional Fokker-Planck-Kolmogorov equation of geometric Brownian motion", Journal of Interdisciplinary Mathematics, 4, 4, 1-17
"Symmetries, Noether’s theorem, conservation laws and numerical simulation for space-space-fractional generalized Poisson equation", Kragujevac Journal of Mathematics, 5, 5, 713-725, 2023-02-01
"Exact solutions and numerical simulation for Bakstein-Howison mode", Computational Methods for Special Stochastic Process, 1, 1, 1-14
"Stochastic analysis and invariant subspace method for handling option pricing with numerical simulation", Computational Methods for Special Stochastic Process, 1, 1, 1-17
"Stochastic analysis to find exact solutions of rainbow option under 2-D Black-Scholes model", Journal of Interdisciplinary Mathematics, 1, 1, 1-10, 2021-01-01
"Exact solutions and numerical simulation for Bakstein-Howison model", Computational Methods for Dierential Equations, 0, 0, -
"Analytical and numerical solutions for the pricing of a combination of two financial derivatives in a market under Hull-White model", Advances in Mathematical Finance and Applications, 2, 2, 1-12, 2021-12-18
"Exact solutions and numerical simulation for Bakstein - Howison model", Computational Methods for Differential Equations, 2, 2, 461-474, 2022-03-17
"Analytical and Numerical Solutions for the Pricing of a Combination of Two Financial Derivatives in a Market Under HullWhite Model", Advances in Mathematical Finance & Applications, 4, 4, 1013-1023
"Option pricing with artificial neural network in a time dependent market (Evidence of option pricing under Mikhailov and Nogel model in Tehran Stock Exchange)", Advances in Mathematical Finance and Applications, 4, 4, 1-13
"Exact and numerical solutions for two nonlinear regime switching models", Journal of interdisciplinary mathematics, 2147483647, 2147483647, 1-20
"Analytical and numerical solutions for a special nonlinear equation", International Journal of Financial Engineering, 1, 1, 23500571-235005724, 2024-01-31
"Option Pricing with Artificial Neural Network in a Time Dependent Market", Advances in Mathematical Finance & Applications, 2, 2, 723-736, 2024-02-26

Conference Papers

"Power Options Pricing in a Financial Market with stochastic Analysis Tools", جهل و هفتمین کنفرانس ریاضی ایران, ایران, تهران, 2016-01-01
"Locally risk minimizing option pricing under Markovian incomplete markets", بیست و دومین سمینار آنالیز ریاضی و کاربردهای آن- دانشگاه بناب, ایران, بناب, 2017-01-01
"The pricing of binary option using the Fast Fourier transform", بیست و دومین سمینار آنالیز ریاضی و کاربردهای آن- دانشگاه بناب, ایران, بناب, 2017-01-01
"Risk measure in a financial market", چهل و ششمین کنفرانس ریاضی ایران, ایران, یزد, 2015-08-10
"Existence of solution for G-BSDE with quadratic growth and unbounded terminal value", چهل و ششمین کنفرانس ریاضی ایران, ایران, یزد, 2015-08-10
"Stochastic terminal times in G- backward stochastic differential equations", چهل و ششمین کنفرانس ریاضی ایران, ایران, یزد, 2015-10-08
"One-dimensional G- backward stochastic differential equations", دوازدهمین معادلات دیفرانسیل و سیستم های دینامیکی, ایران, تبریز, 2015-10-08
"G- backward stochastic differential equations with fixed times", دوازدهمین معادلات دیفرانسیل و سیستم های دینامیکی, ایران, تبریز, 2015-10-08
"مدل سازی بازارهای فصلی", چهل و ششمین کنفرانس ریاضی ایران, ایران, یزد, 2015-05-09
"valuation of power option under the double Heston's stochastic volatility model", چهل و هفتمین کنفرانس ریاضی ایران- دانشگاه خوارزمی -تهران, ایران, تهران, 2017-09-05
"A geometric approach for finding exact solutions of a kind of time-fractional PDE", نهمین سمینار هندسه و توپولوژی, ایران, مراغه, 2017-07-26
"Fractional double Heston model in a Fractional market", چهل و هشتمین کنفرانس ریاضی ایران- دانشگاه بوعلی -همدان, ایران, همدان, 2017-08-22
"Fractional double Heston model in a Fractional market", چهل و هشتمین کنفرانس ریاضی ایران, ایران, همدان, 2017-12-19
"Similarity reduction of a model of time-fractional Fokker-Planck equation", چهارمین سمینار معادلات دیفرانسیل، سیستم های دینامیکی و کاربردها, ایران, زنجان, 2018-07-17
"Power option pricing under fractional double Heston model", چهل و نهمین کنفرانس ریاضی ایران, ایران, تهران, 2019-08-12
"Zero coupon bonds pricing under the Hull-White model via fast Fourier transform method", دومین همایش ملی ریاضی و آمار, ایران, گنبد, 2022-02-20
"INVARIANT ANALYSIS OF A SPECIAL CASE OF FOKKER-PLANK EQUATION OF THE HESTON MODEL", پانزدهمین سمینار معادلات دیفرانسیل و سیستم های دینامیکی, ایران, رشت, 2021-03-08
"invariant analysis of a special case of fokker-planck equation of the heston model", Differential Equations and Dynamical Systems, ایران, گیلان, 2021-03-07

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