Foad Shokrollahi
University Lecturer, Statistics and Business Mathematics
Fabriikki F493
By Appointment (Email)
Educational Qualification
PhD. Business and Financial Mathematics.
MSc. Functional Analaysis.
Research Interests
Business and Financial Mathematics
Stochastic Analaysis
Asset pricing
Energy Markets
Fractional Brownian motion
Teaching Portfolio
Financial Mathematics
Probability and Stochastic Processes
R Programming
Decision Analysis
Research Method (Quantitative)
Phd Students:
1-Hamidreza Maleki Almani, Modern Stochastic Gaussian Models and Applications to finance, 2019-2024.
2- Cidiogo Joy Agboeke, Forecasting stock process in the case of uncertainties using stochastic differential equations, 2025-.
Selected Publications
Shokrollahi, F., & Kilikman, A. (2014). Pricing currency option in a mixed fractional brownian motion with jumps environment. Mathematical Problem in Engineering,2014.
Shokrollahi, F., & Kilicman, A. (2014). Delta hedging strategy and mixed fractional Brownian motion for pricing currency option. Mathematical Problem in Engineering, 2014.
Shokrollahi, F., & Kilicman, A. (2015) Actuarial Approach in a Mixed Fractional Brownian Motion with Jumps Environment for pricing currency option. Advances in Differential Equations.
Shokrollahi, F., Kiliman, A., Akma, N., & Ismail, F. (2015) Greeks and partial differential equations for some pricing currency option models. Malaysian Journal of Mathematical Sciences.
Shokrollahi, F., Kilicman, A., Magdziarz, M. (2016). Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs. Journal of financial engineering.
Shokrollahi, F., & Kilicman, A. (2016). Pricing currency options by fractional Brownian motion. Springer Plus.
Shokrollahi, F. (2017). Fractional delta hedging strategy for pricing currency options in discrete time setting. Communications in Mathematical Finance.
Shokrollahi, F., & Sotinnen, T. (2017) Hedging in fractional Black–Scholes model with transaction costs. Statistics and Probability Letters.
Shokrollahi, F. (2018). Subdiffusive fractional Black–Scholes model for pricing currency options under transaction costs. Cogent Mathematics & Statistics.
Shokrollahi, F. (2018). Mixed fractional Merton model for pricing European option with transaction costs. Journal of Mathematical Finance.
Shokrollahi, F. (2018). The valuation of geometric Asian power options under time changed mixed fractional Brownian motion. Journal of Computational and Applied Mathematics.
Shokrollahi, F. (2019) Pricing extendible option by jump mixed fractional Brownian motion. Aximos.
Shokrollahi, F. (2020) Pricing European option with the short rate under subdiffusive fractional Brownian motion regime. International Journal of Theoretical and Applied Finance.
Shokrollahi, F. (2022) Valuation of equity warrants for uncertain financial market. Mathematical and Computational Applications 27 (2), 18.
Ahmadian, D., Ballestra, L.V., Shokrollahi, F., (2023) A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion, Chaos, Solitons & Fractals 158, 112023.
Shokrollahi, F., Dufitinema, J & Sotinnen, T. (2024) Long-range dependent completely correlated mixed fractional Brownian motion, Stochastic process and their Application.
Hamidreza M. l., Shokrollahi, F., & Sotinnen, T. (2024) Prediction of Gaussian Volterra processes with compound Poisson jumps, Statistics & Probability Letters 208, 110054.
Vahdati, Saeed, Shokrollahi, F., (2024)Timeline and wavelets method for pricing cash-or-nothing options, Mathematics Interdisciplinary Research.
Saeed Vahdati,. Foad Shokrollahi,. Pricing asset-or-nothing options using Haar wavelet, Journal of Mathematics and Modeling in Finance (JMMF), Vol. 4, No. 1, Winter & Spring 2024.
Talk and Conferancess:
The valuation of European currency option by combination of mixed fractional Brownian motion with Poisson process, 37th Finnish Summer School on Stochastics and Statistics, Lammi, Finland, 30 May 2016.
Conference on the Mathematics of Energy Markets, Wolfgang Pauli Institute (WPI) in Vienna, Austria, 5-7 July 2016.
Option pricing under Merton model of the short rate in subdiffusive fractional Brownian motion regime, 8th General AMaMeF Conference, Amsterdam, Netherland, June 19-23, 2017.
Gran Sasso Workshop in Mathematical Finance", GSSI, L'Aquila, Italy, September 27-29, 2017.
The 27th Nordic Conference in Mathematical Statistics, Tartu, Estonia, June 26-29, 2018
38th Finnish Summer School on Stochastics and Statistics, Lammi, Finland, 27-30 May 2019.
8th General AMaMeF Conference, Paris, France, June 11-15, 2019.
Organizer and committee of Energy research seminar, Current and potential role of data prediction in multidisciplinary projects, November 20th 2019, Vaasa, Finland.
The 19th Conference of the Applied Stochastic Models and Data Analysis International Society ASMDA2021, 1-4 June, Athena, Greece.
38th Finnish Summer School on Stochastics and Statistics, Lammi, Finland, 27-30 May 2022.
49th European Financial Association, 24-27 August 2023, Barcelona, Spain.
International Conference on Probability and Statistics (ICPROS-23) Stockholm, Sweden, 12-13 July 2023.
Math Day, University of Vaasa, Unveiling word of discerete Markov chain and their applications, 25 April 2024.
Other Scintific Merits and Qualifications:
Being guest editor of the fractal and fractional journal.
Being editor at Applied Mathematics journal, financial Mathematics special issue.
Have special symposium at Conference of the Applied Stochastic Models.
Being a reviewer in the following selective journals: Physica A: Statistical Mechanics and its Applications, Statistics and Probability Letters, Journal of Mathematical Finance, American Mathematical Society.