3 citations · 6 across the 16 of their papers we have counts for
19 papers
Parameter Estimation for the Mixed Fractional Merton Jump Diffusion Model with EM Algorithm
Chidiogo Joy Agboeke, Hamidreza Maleki Almani, Dario Gasbarra +2
This paper proposes an Expectation--Maximization algorithm with Metropolis--Hastings sampling for parameter estimation in a Mixed Fractional Merton Jump Diffusion model. The model…
Pricing Temperature-Index Insurance under Long Memory and Stochastic Time Change
Nader Karimi, Foad Shokrollahi
This paper develops a unit-consistent actuarial framework for pricing capped cumulative temperature-index insurance under long-range dependence and stochastic variability. Daily te…
Optimal Surplus Management for Insurers under Stochastic Interest Rates and Jump-Driven Liabilities
Nader Karimi, Foad Shokrollahi, Masoumeh Shahmoradi
This paper investigates the optimal surplus management problem of an insurance company operating in a financial market with stochastic interest rates and jump-driven liabilities. T…
Pricing Excess-of-Loss Reinsurance and CAT Bonds under Climate Uncertainty: A Cox Process Framework with Temperature-Dependent Stochastic Intensity
Nader Karimi, Foad Shokrollahi
This paper develops a climate-aware pricing framework for excess-of-loss (XL) reinsurance contracts and catastrophe (CAT) bonds under non-stationary catastrophe risk. Catastrophe a…
Lamperti scaling for fractional Gaussian processes with non-stationary increments
Foad Shokrollahi, Saeed Vahdati
The Lamperti transform offers a powerful bridge between self-similar processes and stationary dynamics, making it especially useful for analyzing anomalous diffusion models that la…
Hedging in Jump Diffusion Model with Transaction Costs
Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen
We consider the jump-diffusion risky asset model and study its conditional prediction laws. Next, we explain the conditional least square hedging strategy and calculate its closed…
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
Kostiantyn Ralchenko, Foad Shokrollahi, Tommi Sottinen
We establish the rate of convergence in the -norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motio…
Prediction of Gaussian Volterra Processes with Compound Poisson Jumps
Hamidreza Maleki Almani, Foad Shokrollahi, Tommi Sottinen
We consider a Gaussian Volterra process with compound Poisson jumps and derive its prediction law.
Actuarial strategy for pricing Asian options under a mixed fractional Brownian motion with jumps
Foad Shokrollahi, Davood Ahmadian, Luca Vincenzo Ballestra
The mixed fractional Brownian motion () has become quite popular in finance, since it allows one to model long-range dependence and self-similarity while remaining, for certa…
Long-range dependent completely correlated mixed fractional Brownian motion
Josephine Dufitinema, Foad Shokrollahi, Tommi Sottinen +1
In this paper we introduce the long-range dependent completely correlated mixed fractional Brownian motion (ccmfBm). This is a process that is driven by a mixture of Brownian motio…
Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate
Foad Shokrollahi, Marcin Marcin Magdziarz
In this paper we propose an extension of the Merton model. We apply the subdiffusive mechanism to analyze equity warrant in a fractional Brownian motion environment, when the short…
Pricing European option with the short rate under Subdiffusive fractional Brownian motion regime
Foad Shokrollahi
The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the…
The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion
Foad Shokrollahi
The aim of this paper is to evaluate geometric Asian option by a mixed fractional subdiffusive Black-Scholes model. We derive a pricing formula for geometric Asian option when the…
Valuation of equity warrants for uncertain financial market
Foad Shokrollahi
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants p…
Pricing compound and extendible options under mixed fractional Brownian motion with jumps
Foad Shokrollahi
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound opti…
Hedging in fractional Black-Scholes model with transaction costs
Foad Shokrollahi, Tommi Sottinen
We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the condition…
The valuation of European option with transaction costs by mixed fractional Merton model
Foad Shokrollahi
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging arg…
Fractional delta hedging strategy for pricing currency options with transaction costs
Foad Shokrollahi
This study deals with the problem of pricing European currency options in discrete time setting, whose prices follow the fractional Black Scholes model with transaction costs. Both…
Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs
Foad Shokrollahi
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formul…