Journal Paper
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"Quantile Hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint"
1- Bing Cui 2- علیرضا نجفی
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,
2024
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"Conditional expectation strategy under the long memory Heston stochastic volatility model"
1- علیرضا نجفی 2- فرشید مهردوست
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION,
2023
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"Forward contract prices of electricity Nord Pool market: calibration and jump approximation"
1- علیرضا نجفی 2- رحمان طالقانی 3- فرشید مهردوست
SADHANA-ACADEMY PROCEEDINGS IN ENGINEERING SCIENCES,
2023
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"Multi-intervals robust mean-Conditional Value-at-Risk portfolio optimization with conditional scenario reduction technique"
1- طاهره خدامرادی 2- مازيار صلاحی 3- علیرضا نجفی
International Journal of Applied Decision Sciences,
2023
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"Fractional Liu uncertain differential equation and its application to finance"
1- علیرضا نجفی 2- رحمان طالقانی
CHAOS SOLITONS & FRACTALS,
2022
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"Lookback option pricing under the double Heston model using a deep learning algorithm"
1- مهسا موتمنی 2- فرشید مهردوست 3- علیرضا نجفی
COMPUTATIONAL & APPLIED MATHEMATICS,
2022
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"Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate"
1- طاهره خدامرادی 2- مازيار صلاحی 3- علیرضا نجفی
Decisions in Economics and Finance,
2021
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"CCMV Portfolio Optimization with Stocks and Options using Forecasted Data"
1- طاهره خدامرادی 2- علیرضا نجفی 3- مازيار صلاحی
Studies of Applied Economics (ESTUDIOS DE ECONOMIA APLICADA),
2021
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"Bond and Option prices under Skew Vasicek model with transaction cost"
1- حسين صمیمی حق گذار 2- علیرضا نجفی
mathematical problems in engineering,
2021
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"European option under a skew version of the GBM model with transaction costs by RBF method"
1- فرناز فرشاد مقدم 2- علیرضا نجفی 3- محمد رضا ياقوتی
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION,
2021
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"Bid and Ask spreads for the cap and floor contracts under the Liouville fractional Vasicek model"
1- علیرضا نجفی 2- فرشید مهردوست 3- حسين صمیمی حق گذار
Studies of Applied Economics,
2021
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"Portfolio Optimization Model with and without Options under Additional Constraints"
1- طاهره خدامرادی 2- مازيار صلاحی 3- علیرضا نجفی
Mathematical Problems in Engineering,
2020
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"A mixed fractional Vasicek model and pricing Bermuda option on zero-coupon"
1- فرشید مهردوست 2- علیرضا نجفی 3- حسين صمیمی حق گذار
SADHANA,
2020
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"A Note on CCMV Portfolio Optimization Model with Short Selling and Risk-neutral Interest Rate"
1- طاهره خدامرادی 2- مازيار صلاحی 3- علیرضا نجفی
Statistics, Optimization & Information Computing,,
2020
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"Robust CCMV model with short selling and risk-neutral interest rate"
1- طاهره خدامرادی 2- مازيار صلاحی 3- علیرضا نجفی
Physica A: Statistical Mechanics and its Applications,
2020
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"A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds"
1- فرشید مهردوست 2- علیرضا نجفی
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS,
2020
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"A short memory version of the Vasicek model and evaluating European options on zero-coupon bonds"
1- فرشید مهردوست 2- علیرضا نجفی
Journal of Computational and Applied Mathematics,
2020
