cv

A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model.Davood Damircheli and Mohsen Razzaghi and Seyed-Mohammad-Mahdi Kazemi and Ali Foroush Bastani, Engineering Analysis with Boundary Elements,2023. link
Solution Approaches and Sensitivity Analysis of Variational Inequalities.Davood Damircheli and Manav Bhatia, AIAA Scitech 2019 Forum, 2019. doi
A radial basis collocation method for pricing American options under regime-switching jump-diffusion models, Applied Numerical Mathematics,Ali Foroush Bastani, Zaniar Ahmadi, Davood Damircheli,Applied Numerical Mathematics2013. doi
A wavelet collocation method for fractional Black–Scholes equations by subdiffusive model.Davood Damircheli, Mohsen Razzaghi, Numerical Methods for Partial Differential Equations, 2023. doi
An adaptive algorithm for solving stochastic multi-point boundary value problemsi.,Ali Foroush Bastani, Davood Damircheli, Numerical Algorithms, 2016. link
On a Stable Method for Option Pricing: Discontinuous Petrov-Galerkin Method for Option Pricing and Sensitivity Analysis Davood Damircheli, 2022. arXiv

In prepartion

Cyclic damage model with a Peridynamic model with Robert Lipton (In preparation)

Honors and Achievements

Presidential Graduate Initiative Fellowship, Mississippi State University. August 2016.

Invited talks(selected)

Here are the talks sorted from newest to oldest:

Exploring Financial Derivatives through the Lens of the DPG Approach: A Study on Option Pricing and Sensitivity Analysis, The 6th SIAM Texas-Louisiana Sectional Meeting (SIAM TX-LA 2023), Presenter: Davood Damircheli, Affiliation: Louisiana State University.
Numerical Solution of Credit Rating Migration Problem Model with Galerkin Finite Element Method, The 2022 Joint Mathematics Meetings, Presenter: Davood Damircheli, Affiliation: Mississippi State University.
Innovative application of Discontinuous Petrov-Galerkin methodology in financial option pricing: A focus on barrier options, Minimum Residual & Least-Squares Finite Element Methods, June 24 - 27, Bilbao, Spain, Presenter: Davood Damircheli.
Solution Approaches and Sensitivity Analysis of Variational Inequalities, AIAA SciTech 2019 San Diego.
Pricing of boundary-linked assets by stochastic boundary value problems, Joint Mathematics Meetings, Atlanta, Georgia, January 4-7, 2017.
On Adaptive algorithm for Stochastic Boundary Value Problems, FINACT-IRAN Workshop on Financial and Actuarial Mathematics, August 19-21, 2014, IPM, Iran.
An Adaptive Multiple Shooting Method for Stochastic Boundary Value Problems, Fifth Workshop on Stochastic Processes, University of Tehran, November 26, 2009, Tehran, Iran.
Numerical Solution of Stochastic Differential Equations, First Seminar on Financial Mathematics, Spring 2008, IASBS, Zanjan Iran.

GitHub profile: https://github.com/DavoodDamircheli

Coding Projects

perigrain: A high-fidelity granular media simulation and analysis platform with deformation and fracture in arbitrary grain shapes using peridynamics and discrete element method. Applications include vehicle mobility on gravels of different shapes, hopper flow of deformable particles, among others.

Professional Service

Co-organized seminars and symposia:

Minisymposium on Theoretical and computational aspects of nonlocal operators at the 7th SIAM Central States Annual Meeting, Oklahoma State University, October 1-2, 2022

President of Iranian Student Association (IRSA) In MSU(2018-present)
Treasurer of Iranian Student Association (IRSA) In MSU (2017-2018)
Vice President of Iranian Student Association (IRSA) In MSU (2016-2017)
Administrated the biggest international event in Mississippi State University (Persian new year Festival)

Mailing Address

Department of Mathematics
Louisiana State University
145 Lockett Hall
Baton Rouge LA 70803-4918

CV in PDF format: Download