Hassan Nojumi
Assistant
Professor of Applied Mathematics
Contact Information
Room 417
Department of Mathematical Sciences
Sharif University of Technology
P.O.Box 11155-9415, Azadi Street
Tehran, Iran
Web:
http://mathsci.sharif.edu/~nojumi
http://sina.sharif.edu/~nojumi
Email: nojumi@sina.sharif.edu
hnojumi@yahoo.com
Mobile: +98 912 593 7563
Phone: (+9821) 6616-5640
Fax: (+9821) 6600-5117
Research Interests
-
Computational Finance
-
Risk Management
-
Scientific Computing
Educational Background
-
B.S. in Electrical Engineering, Sharif
University of Technology, Iran
-
B.S. Project Title: Electronic
Interlocking Systems at Railway Stations
-
B.S. Project Supervisor: Mahmoud Tabandeh
-
M.S. in Computer Engineering, Sharif
University of Technology, Iran
-
M.S. Thesis Title: A Hardware Accelerator for
Simulation of Digital Circuits
-
M.S. Thesis Supervisor: Amir Hossein Jahangir
-
M.S. in Applied Mathematics, Utrecht
University, Netherlands
-
M.S. Thesis Title: Harmonic Maps in
Space-Time
-
M.S. Thesis Supervisor: Hans Duistermaat
-
Ph.D. in Applied Mathematics, University
of Delaware, USA
-
Dissertation Title: An Extended Model of
Asset Price Dynamics
-
Dissertation Supervisor: George Hsiao
-
Dissertation Committee:
George Hsiao, Robert Gilbert, Zuhair Nashed
-
External Referee: Xiang-Gen
Xia ( Electrical Engineering/Signal Processing )
-
Postdoctoral Study, Pennsylvania State
University, USA
-
Mentor: Andrew Belmonte
-
Postdoctoral Study, Sharif University of
Technology, Iran
-
Mentor: Bijan Zohouri-Zangeneh
Journal Publications
-
Hassan Nojumi, Stochastic analysis of the market
price of risk, Submitted.
-
Hadi Minooei, and Hassan Nojumi, Performance
evaluation of a new backoff method for IEEE 802.11, Accepted for publication
in Computer Communications.
-
Hassan Nojumi, A hardwired discrete
simulation algorithm, Accepted for publication in Scientia Iranica.
-
Hassan Nojumi, Computational
finance and risk management (in Persian), Accepted for publication in Nashr-e Riyaazi.
-
Hassan Nojumi, An extended model
of asset price dynamics, Iranian International Journal of Science,
Vol.6 (2005), pp. 83-95.
-
Hassan Nojumi, Persian Translation of David Applebaum, Levy processes - from probability theory to finance and quantum groups,
Notices of the American Mathematical Society, 51 (2004), pp. 1336-47 , Farhang va Andisheye Riyaazi, No. 34, Spring 2006, pp.
7-32.
-
Hassan Nojumi, Paul Levy (in Persian), Farhang
va Andisheye Riyaazi, No. 34, Spring 2006, pp. 87-89.
-
Hassan Nojumi, Persian Translation of Paul Halmos, How to write Mathematics,
Farhang va Andisheye Riyaazi, No. 33, Fall 2005, pp. 43-75.
-
Bahman Mehri, and Hassan Nojumi, On the behavior of
solutions of a certain ordinary differential equation, Nasir Journal of
Science and Engineering, 1(1) (2005), pp. 6-13.
-
Bahman Mehri, and Hassan Nojumi, Unique solvability
of a linear problem with perturbed boundary values, Czech. Math.
Journal, 49(124) (1999) No. 2, pp. 351-362.
Conference
Publications
-
Hassan Nojumi, Amirreza Shafaat, Hamidreza
Golmakani, and Hossein Salimi, Modeling dynamics of oil supply-demand shock
effects on stock market returns, Proceedings of the 18th International
Conference of the Association for Global Business, Newport Beach, CA, USA,
November 2006.
-
Nima Darabi, Navid Hamed Azimi, and Hassan Nojumi,
Recognition of dastgah and maqam for Persian music with detecting skeletal
melodic models, Proceedings of The second annual IEEE BENELUX/DSP Valley
Signal Processing Symposium, Belgium, SPS-DARTS 2006, DSP Valley, Belgium,
March 2006.
-
Hassan Nojumi, Differential equations, from
stochastic to deterministic, an example, Proceedings of the Sixth Conference on
Differential Equations and Dynamical Systems, Institute for Advanced Studies in Basic Sciences,
Zanjan, Iran, September 2004.
-
Hassan Nojumi, Interest rate derivatives and the market
price of risk, Proceedings of the Sixth World Multiconference on
Systemics, Cybernetics, and Informatics, SCI 2002, Orlando, Florida, USA,
July 2002.
-
Ruppa Thulasiram, Lubomir Litov, Hassan Nojumi,
Christopher Downing, and Guang Gao, Multithreaded algorithms for pricing a
class of complex options, Proceedings of the International Parallel and
Distributed Processing Symposium, IPDPS 2001, San Francisco, CA, USA,
April 2001.
-
Hassan Nojumi, Spatiotemporal
events in distributed systems, Proceedings of the International Conference on
Parallel and Distributed Processing Techniques and Applications, PDPTA 2000,
Las Vegas, Nevada, USA, June 2000.
-
Hassan Nojumi, The classical solution to the
network flow problem, Proceedings of the 26th Annual Iranian Mathematical
Conference, Kerman, Iran, May 1995, Vol. 2, pp. 291-297.
Talks
-
An Introduction to Risk Management, Research Week, Sharif University of Technology, Tehran, Iran, December 15,
2005.
-
Risk Management in Financial
Markets, Iranian Mathematical Society Seminar on Financial Engineering and Risk Management, Faculty
of Mathematical Sciences, Beheshti University, Tehran, Iran, June 15, 2005.
-
An Introduction to Computational
Finance, Mathematics Week, Department of Mathematical Sciences, Isfahan University of
Technology, Isfahan, Iran, October 28, 2004.
-
Differential Equations, From
Stochastic to Deterministic, An Example, Sixth Conference on
Differential Equations and Dynamical Systems, Institute for Advanced Studies in Basic Sciences,
Zanjan, Iran, October 6, 2004.
-
Universal Constant of American Option Pricing,
Department of Mathematical Sciences, Sharif University of Technology, Tehran, Iran, May 15, 2004.
-
Valuation of American Call Option, A Free Boundary Value Problem,
Department of Mathematical Sciences, Sharif University of Technology, Tehran, Iran, May 8, 2004.
-
Mobile Phone Networks, Department
of Mathematical Sciences, Sharif University of Technology, Tehran, Iran, April 10, 2004.
-
E-Commerce, An Introduction,
Department of Mathematical Sciences, Sharif University of Technology, Tehran, Iran, April 3, 2004.
-
An Introduction to Computational Finance,
Department of Mathematics, Institute for Advanced Studies in Basic Sciences, Zanjan, Iran, November
19, 2003.
-
Interest Rate Derivatives and Market
Price of Risk, Department of Mathematical Sciences, Sharif University of Technology, Tehran,
Iran, November 5, 2003.
Graduate Courses Taught
-
Computational Finance
-
Risk Assessment and Management
-
Advanced Applied Mathematics
-
Advanced Mathematical Software
-
Advanced Numerical Analysis
-
Computational Finance Seminar
-
Probability and Statistics Seminar
-
Computer Science Seminar
-
Numerical Analysis Seminar
Undergraduate
Courses Taught
Graduate Theses in Progress
Shokoofeh Shafiei
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Design and Management of Optimal Financial
Portfolios
Javad Abdi
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Hedging Strategies in Financial Markets
Samira Sadeghy
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Assessment and Management of Risk in Banking
Systems
Mahboobeh Taghadosi
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Assessment and Management of Risk in Industries
B.S. Project in Progress
None
at present.
Graduate Thesis Completed
Ramin Okhrati
Department of Mathematical Sciences
Sharif University of Technology
M. S. Thesis Topic: Credit Risk in Financial Markets
Date Completed: December 2004
B.S. Projects
Completed
Homa Kabiri
Department of Mathematical Sciences
Sharif University of Technology
B.S. Project Topic:
Research and Preparation of Lecture Notes for a Probability and Statistics course
Date Completed: December 2005
Hadi Minooei
Department of Mathematical Sciences
Sharif University of Technology
B.S. Project Topic:
Performance Evaluation of a New Backoff Method for Computer Networks
Date Completed: September 2006
Fatemeh Vakhshiteh
Department of Mathematical Sciences
Sharif University of Technology
B.S. Project Topic:
Research and Preparation of Lecture Notes for a Stochastic Processes course
Date Completed:
October 2006
Laleh Ghalami
Department of Mathematical Sciences
Sharif University of Technology
B.S. Project Topic: Extreme Value Theory as a Risk
Management Tool
Date
Completed: June 2007
Graduate
Committee Membership
Elham Akbari
Department of Civil Engineering
Sharif University of Technology
M.S. Thesis Title: Effects of Initial Roughness of Roads on
Long-Term Roughness
Date Defended: November 2003
Aazam Rostami
Aziz Hadi
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Existence of Strong Solutions for Ito
Stochastic Differential Equations
Date Defended: June 2004
Rasoul Azizi
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Interest Rate Models and Existence of a Finite
Dimensional Market Realization
Date Defended: June 2004
Soheila Ghofrani
Hamidreza Aryan
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Stochastics of Partial Derivatives
Date Defended: July 2004
Karim Ebrahimi
Department of Mathematics
Tehran University
M.S. Thesis Title: Roles of Money in General Market Equilibrium
Date Defended: September 2004
Faraj Yaghoubi
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Time Reversibility in
Hyperbolic Stochastic Equations
Date Defended: November 2004
Behnaz Zargari
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Option Pricing in the
Stochastic Volatility Model
Date Defended: January 2005
Lili Shahriari
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: DNA Computing
Date Defended: July 2005
Kaveh Fouladgar
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Fractional Stochastic Analysis
Date Defended: August 2005
Navid Hamed Azimi
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Algorithms for Graph
Coloring
Date Defended: August 2006
Ali Taherkhani
Department of Mathematical Sciences
Sharif University of Technology
M.S. Thesis Title: Coloring Number and Maximum
Degree in Graphs
Date Defended: September 2006
Ali Zangeneh
Graduate School of
Management and Economics
Sharif University of Technology
M.B.A. Thesis Title:
Applications of Index Futures in the Stock Market
Date Defended: June 2007
|