13 citations · 15 across the 3 of their papers we have counts for
4 papers
Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market
Peyman Alipour, Ali Foroush Bastani
Designing dynamic portfolio insurance strategies under market conditions switching between two or more regimes is a challenging task in financial economics. Recently, a promising a…
On Meshfree Collocation to Compute the Probability of Default under a Regime-Switching Synchronous-Jump Tempered Stable Lévy Model
Davood Damircheli, Mohsen Razzaghi, Seyed-Mohammad-Mahdi Kazemi +1
In the paper [Hainaut, D. and Colwell, D.B., {\rm A structural model for credit risk with switching processes and synchronous jumps}, The European Journal of Finance 22(11) (2016):…
A Product Integration Method for the Approximation of the Early Exercise Boundary in the American Option Pricing Problem
Khadijeh Nedaiasl, Ali Foroush Bastani, Aysan Rafiee
In this paper, an integral equation representation for the early exercise boundary of an American option contract is considered. Thus far, a number of different techniques have bee…
On Adaptive Multiple-Shooting Method for Stochastic Multi-Point Boundary Value Problems
Ali Foroush Bastani, Davood Damircheli
This paper presents an adaptive multiple-shooting method to solve stochastic multi-point boundary value problems. The heuristic to choose the shooting points is based on separating…