Hirbod Assa

Biography

Dr. Hirbod Assa joined the Department of Mathematics in September 2013 as a Lecturer in mathematical finance. He earned his first PhD in mathematical finance from the University of Montreal, working on the application of risk metrics in financial models. In 2013 he completed another PhD in economics at Concordia University, where he won the Balvir Singh medal for outstanding achievement in his PhD thesis. Hirbod has the experience of teaching courses in economics as well as in mathematics. His multidisciplinary background gives him the ability to model real world problems with mathematical tools. That is why Hirbod’s research interests cover different areas including agricultural finance, insurance, re-insurance, asset pricing and game theory. He has been on the organising committees of several events, including, FINACT-IRAN (2014), Quantitative Finance and Risk Analysis (2015) and Insurance: Mathematics and Economics (2015). He was moderating a panel on ‘Quantitative Finance in Agriculture’ in IARFIC 2015 in Washington DC.  Since September 2014 he has become a member of the advisory board of Agricultural Finance Review. 

Qualifications

  • Ph.D. in Economics, (2013) Concordia University.
  • Ph.D. in Mathematical Finance, (2011) Université de Montréal.
  • Princeton University, (2010) Department of Operational Research and Financial Engineering (ORFE), Visiting Ph.D
  • University Carloss III, Department of Business Administration, Visiting PhD
  • M.Sc. in Mathematics, (2004) Sharif University of Technology.
  • B.Sc. in Mathematics, (2001)Sharif University of Technology.

 Honours & Awards

  • Balvir Singh Medal (2014) Concordia University, For outstanding achievement in PhD, Economics.
  • FQRSC (2012-2015) (The government of Quebec research fellowship) Doctoral Research Award (60,000$).
  • Nominated for Best Thesis (2011) University of Montreal, PhD, Mathematics.
  • FQRNT (2010) (The government of Quebec research fellowship), for visiting Princeton University (5000$).
  • Doctoral Research Award (2009-2010) , Institute of financial mathematics of Montreal (IFM2) (20,000$).
  • Doctoral Research Award (2009-2010), University of Montreal (12,000$)
  • Bourse de Mobilité (2009) for visiting University Carloss III of Madrid, University of Montreal (4600$).
  • Doctoral Research Award (2007-2009), Institut des sciences mathématiques (ISM) (24,000$)
  • Doctoral Research Award (2005-2009) (Bourse d’excellence), University of Montreal (21,000$).

Editorships / Editorial Boards

  • Editorial Advisory Board Member, Agricultural Finance Review

Organization of Conferences / Workshops

  • FINACT-IRAN (2014) Tehran, Iran
  • Insurance: Mathematics and Economics (2015), Liverpool, UK
  • Quantitative Finance and Risk Analysis (2015) Greek Island, Greece.

Scientific Committees and Boards of Conferences (recent)

  • ASCE-ICVRAM-ISUMA (2014) Liverpool, UK

Teaching Areas

  • Numerical methods for financial engineering
  • Stochastic processes and their applications
  • Intermediate macro-economics
  • Micro-economics

Research Interests

  • Economics, Finance, Financial and actuarial mathematics
  • Re-insurance optimal design
  • Agricultural insurance
  • Risk Management and Risk Measures
  • Option Pricing and Theory of Arbitrage and Good Deals
  • Actuarial Science, Hedging
  • Financial Econometrics and Financial Economics
  • Commodity Market

Selected Publications

  • Published -Assa, H. On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums, Insurance: Mathematics and Economics Volume 61, March 2015, Pages 70-75
  • Accepted -Assa, H. Trade-off between robust risk measurement and market principles to appear in Journal of Optimization Theory and Application, accessible online since 29 July, 2014
  • Published -Assa, Hirbod. A hedging approach to insurance company solvency. Vulnerability, Uncertainty, and Risk @ Quantification, Mitigation, and Management. ASCE.pp. 1245-1253, 2014
  • Revised and Re-Submitted Assa, H., Eliston, S., Lehrer, E. Joint game and Compatibility. Revised and resubmitted to Economic Theory
  • Revised and Re-submitted Assa, H. Risk Management Under a Prudential Policy Revised and re-submitted to Decisions in Economics and Finance
  • Published -Assa, H., Karai. K. M., Hedging, Pareto Optimality, and Good Deals Journal of Optimization Theory and Applications,Volume 155, pages 1–18, 2012.
  • Published -Assa, H., Balbás, A. Good Deals and compatible modification of risk and pricing rules a regulatory treatment. Mathematics and Financial Economics, 4 :253–268, 2011.
  • Published -Assa, H. Lebesgue Property of Risk Measures for Bounded Càdlàg Processes and Applications Methods and Applications of Analysis. Vol.18 No. 3. pp. 335-350, 2011.
  • Published -Assa, H., Morales, M.Risk Measures on the Space of Infinite Sequences. Mathematics and Financial Economics, Vol. 2, No. 4., pp. 253-275, 2010.
  • Published -Assa, H., Hessaraki, M. Moameni, A. Blow-Up and Non-global Solution for a Family of Nonlinear Higher Ordered Evolution Problems Iranian Journal of Mathematical Sciences and Informatics Vol. 1, No. 2, pp. 9-30, 2006.
  • Published -Assa, H., Hessaraki, M. Nonexistence of Solution for Higher Order Evolution Equations and Inequalities Methods and Applications of Analysis Vol. 12, No. 1, pp. 1-18, 2005.
  • Submitted -Assa, H. A financial engineering approach to pricing agricultural insurances Agricultural Finance Review, 2015
  • Submitted -Assa, H. Optimal Risk Allocation in a Market with Non-Convex Preferences
  • Submitted -Assa, H. Risk Sharing for Individual Risks
  • Submitted -Assa, H., Dobouse, A., Gospodinov, N., A Staggered Pricing Approach to Modeling Speculative Storage : Implications For Commodity Prices Dynamics.
  • Submitted -Assa, H., Gospodinov, N. A Robust Approach to Hedging and Pricing in Imperfect Markets .
  • Submitted -Assa, H. Natural risk premiums