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Farshid Jamshidian

Personal Details

First Name:Farshid
Middle Name:
Last Name:Jamshidian
Suffix:
RePEc Short-ID:pja96
[This author has chosen not to make the email address public]
http://wwwhome.math.utwente.nl/~jamshidianf/

Affiliation

Faculty of Behavioural, Management and Social Sciences (BMS)
Universiteit Twente

Enschede, Netherlands
https://www.utwente.nl/nl/bms
RePEc:edi:fbutwnl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jamshidian, Farshid, 2008. "Numeraire Invariance and application to Option Pricing and Hedging," MPRA Paper 7167, University Library of Munich, Germany.
  2. Jamshidian, Farshid, 2008. "On the combinatorics of iterated stochastic integrals," MPRA Paper 7165, University Library of Munich, Germany.
  3. Jamshidian, Farshid, 2007. "Exchange Options," MPRA Paper 4471, University Library of Munich, Germany, revised 14 Aug 2007.
  4. Farshid Jamshidian, 2005. "Chaotic expansion of powers and martingale representation (v1.5)," GE, Growth, Math methods 0507009, University Library of Munich, Germany.
  5. Farshid Jamshidian, 2005. "Chaotic expansion of powers and martingale representation (v1.2)," Finance 0506008, University Library of Munich, Germany.
  6. Farshid Jamshidian, 2004. "Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)," Finance 0407015, University Library of Munich, Germany.

Articles

  1. Farshid Jamshidian, 2008. "Bivariate Support Of Forward Libor And Swap Rates," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 427-443, July.
  2. Farshid Jamshidian, 2004. "Valuation of credit default swaps and swaptions," Finance and Stochastics, Springer, vol. 8(3), pages 343-371, August.
  3. Farshid Jamshidian, 1997. "LIBOR and swap market models and measures (*)," Finance and Stochastics, Springer, vol. 1(4), pages 293-330.
  4. Farshid Jamshidian & Yu Zhu, 1996. "Scenario Simulation: Theory and methodology (*)," Finance and Stochastics, Springer, vol. 1(1), pages 43-67.
  5. Farshid Jamshidian, 1996. "Bond, futures and option evaluation in the quadratic interest rate model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(2), pages 93-115.
  6. F. Jamshidian, 1995. "A simple class of square-root interest-rate models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 61-72.
  7. Farshid Jamshidian, 1994. "Hedging quantos, differential swaps and ratios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 1-20.
  8. Farshid Jamshidian, 1993. "Option and Futures Evaluation With Deterministic Volatilities1," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 149-159, April.
  9. Farshid Jamshidian, 1992. "Asymptotically Optimal Portfolios," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 131-150, April.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2005-06-19
  2. NEP-ETS: Econometric Time Series (1) 2005-06-19
  3. NEP-IFN: International Finance (1) 2007-08-18

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