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

  • Stochastic Processes

  • Time Series

  • Regression Analysis

  • Probability and Statistics

  • Numerical Analysis

  • Engineering Mathematics

  • Engineering Probability and Statistics

  • Linear Algebra

  • Advanced Programming

  • Calculus

  • Mathematics Laboratory

 

 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

  • Department of Mathematics

  • Tehran University

  • M.S. Thesis Title: Existence of Generic Equilibrium in Incomplete Markets

  • Date Defended: May 2004

 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

  • Department of Mathematics

  • Tehran University

  • M.S. Thesis Title: Generic Characteristics of Structure of Complete Markets

  • Date Defended: June 2004

 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