Farshid Jamshidian is a finance researcher, academic and practitioner. His experience covers both fixed-income and equity research and trading. Dr. Jamshidian has made important contributions to the theory of derivatives pricing, and has published extensively, especially on interest rate modelling,[1][2] amongst other contributions, developing the use of the forward measure, and "Jamshidian's trick", widely applied in the pricing of bond options.
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He is professor of Applied Mathematics at the University of Twente, and is at NIBC Bank. He is a member of the editorial board of The Journal of Fixed Income.[3] Previously he was managing director of NetAnalytic, a risk management products and services company he founded in 1999; managing director of New Products and Equity Derivatives at Sakura Global Capital; executive director of Technical Trading at Fuji International Finance; and head of quantitative fixed-income research at Merrill Lynch. As an academic, he was an associate editor of Finance and Stochastics and The Journal of Computational Finance and served as a faculty member in the mathematics departments at the University of Chicago and the University of California, Berkeley.[2]
He earned a Ph.D. in mathematics from Harvard University (1980)[4] and an MSc in computer science from Stanford University.[5]
References
edit- ^ "The MathFinance Newsletter #20". Archived from the original on 2012-04-26. Retrieved 2011-12-21.
- ^ a b "NetAnalytic Founder Joins J.P. Morgan Derivatives Spin-Off - Wall Street & Technology". Wallstreetandtech.com. Archived from the original on 12 May 2012. Retrieved 4 December 2017.
- ^ [1] [dead link]
- ^ Farshid Jamshidian at the Mathematics Genealogy Project
- ^ "Masters Alumni | Stanford Computer Science". Archived from the original on 2011-12-05. Retrieved 2011-12-21.
External links
edit- Prof. Dr. Farshid Jamshidian, utwente.nl
- SSRN Author Page
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