Prof. Dr. Farshid Jamshidian

Part-time professor. FELAB

System,signal and Control Group (UT)
Department of Applied Mathematics
University of Twente

Cofounder and President, AtomPro Structured Products

Research interest

Invariant option pricing and hedging
Bermudan and American options
Martingale representation, market completion
Stochastic differential geometry
Computational finance, calibration
Data-server API and pricing engine design

Recent downloadable presentations (pdf)

An Overview of Interest-Rate Option Models (25-March-10)
On the combinatorics of iterated stochastic integrals (10-April-08)
Numeraire Invariance (4-February-08)
The duality of optimal exercise and domineering claims (12-May-06) : A Doob-Meyer decomposition approach to the Snell envelope.
American and Bermudan options, Minimax Duality, Snell Envelope (2006, v1.1)
Chaotic expansion of powers and martingale representation (2005, v1.5)
Volatility modelling and risk management (2000)

Recent downloadable papers (pdf)

Forward And Swap Measures (August-09)
On the combinatorics of iterated stochastic integrals (24-August-09)
Numeraire Invariance (14-February-08)
Exchange Options (18-August-07)
Trivariate support of flat-volatility forward rates (13-March-07)
The duality of optimal exercise and domineering claims: A Doob-Meyer decomposition approach to the Snell envelope (Feb-2007, published version)
Bivariate support forward Libor and swap rates (22-Nov-06)
Various identities for iterated integrals of a semimartingale (2005, v3)
Chaotic expansion of powers and martingale representation (2005, v1.5)
Numeraire-invariant pricing and American options (2004, v1.6)
Valuation of Credit Default Swaps and Swaptions: version 2 (31-Oct-2003)
Libor market model with semimartingales (1999)

Publications

· Trivariate support of flat-volatility forward rates, Mathematical Finance, Vol. 20, No. 2, 229-258 , April 2010.

· Forward and Swap Measures, Encyclopedia of Quantitative Finance, Editor Rama Cont, John Wiley, April 2010

· Exchange Options Encyclopedia of Quantitative Finance, Editor Rama Cont, John Wiley, April 2010

· Bivariate support forward Libor and swap rates, Mathematical Finance, Vol. 18, No. 3 , 427–443 (July 2008)

· Scenario Simulation Method for Financial Risk Management (coauthor, Yu Zhu), Encyclopedia of Quantitative Risk Assessment, John Wiley, 2008

· The duality of optimal exercise and domineering claims : A Doob-Meyer decomposition approach to the Snell envelope. Stochastics: 79 (1-2), 27-60 (Feb-2007)

· Scenario Simulation Model for Fixed Income Portfolio Risk Management (coauthor, Yu Zhu) : Advanced Bond Portfolio Management , Editors F.J. Fabozzi, L. Martellini, P. Priaulet, John Wiely, 291-310 (2006)

· Replication of Flexible Swaps (coauthor,Evers, I..) Risk, 67-70 March 2005.

· Valuation of Credit Default Swap and Swaptions(2004). Finance and Stochastics 8, 343-371.

· Libor and Swap Market Models (2001), DerivativesWeekly.

· Libor and Swap Market Model and Measures (1997), Finance and Stochastics 1, 293-330.

· Scenario Simulation: Theory and Methodology(1997) (co-author, Yu Zhu), Finance and Stochastics 1,43-67.

· Scenario Simulation Model for RiskManagement (1996) (co-author, Yu Zhu), FinancialProducts 50.

· Bond, Futures and Option Evaluation in theQuadratic Interest Rate Model (1996). AppliedMathematical Finance 3, 93-115.

· Sorting Out Swaptions (1996), Risk 9 (3).

· A Simple Class of Square-Root Models(1995). Applied Mathematical Finance 2,61-72

· Hedging Quantos, Diff Swaps and Ratios(1994). Applied Mathematical Finance 1(1), 1-20.

· Corralling Quantos (1994), Risk 7(3), 71-75.

· Price Differentials (1993), Risk 6(7), 48-51.

· Options and Futures Evaluation withDeterministic Volatility (1993), MathematicalFinance 3(2), 149-159.

· Asymptotically Optimal Portfolios (1992), Mathematical Finance 2(2), 131-150.

· An Analysis of American Options (1992), Review of Futures Markets 11(1), 73-80

· Forward Induction and Construction of YieldCurve Diffusion Models (1991), Journal ofFixed Income 1(1), 62-74.

· Bond and Options Evaluation in the Gaussian Interest Rate Model (1991), Research inFinance 9, 131-170. Appeared Also in Vasicek and Beyond, Risk Publications (1996). Scanned Pdf

· Commodity Option Evaluation in the GaussianFutures Term Structure Model (1991), Reviewof Futures Markets 10(2), 324-346.

· The Preference-Free Determination of Bond andOption Prices from the Spot Interest Rate (1990), Advancesin Futures and Options Research 4, 51-67.

· Evaluation of Complex Sinking Fund Options(1990) (coauthor, R. Russell), Advances in Futuresand Options Research 4, 83-106.

· Replication of an Option on a Bond Portfolio(1990) (coauthor, Y. Zhu), Review of FuturesMarkets 9(1), 84-100.

· Merrill Lynch Bond Analyzer Technical Guide(1990), Merrill Lynch & Co., Inc.Publication, New York.

· An Exact Bond Option Formula (1989), Journal of Finance 44, 205-209.

· Call Adjusted Duration Model and Applications inBond Portfolio Management (1989) (coauthor Y. Zhu), Fixed Income Options, 509-531, Ed. F.Fabozzi, Probus, Chicago.

· Analysis of Bonds with Embedded Options(1988) (coauthor Y. Zhu), Advances inFutures and Options Research 3, 84-100.

· Pricing of Contingent Claims in the One-FactorTerm Structure Model (1987). Appeared in Vasicek and Beyond, RiskPublications, (1996).

Working Papers

· Pricing and Partially Hedging Inflation-IndexBonds (2002)

· Libor Market Model with Semimartingales (1999).Appeared in “Option Pricing, Interest Rates and Risk Management”, Cambridge Univ.. (2001)

· A Note onAnalytical Valuation of Double Barrier Options. Feb. (1997)

· A Note of Passport Options. (1997)

· A Comment on a Recent Paper by Chesney, Elliottand Gibson (1993)

· Closed-Form Solutions for Oil Futures andEuropean Options in the Gibson-Schwartz Model: A Comment (1990) (coauthor M. Fein).

· The Multifactor Gaussian Interest Rate Model andImplementation (1989)

· The One-Factor Gaussian Interest Rate Model:Theory and Implementation (1988)