Farshid Jamshidian : Citation Profile


Are you Farshid Jamshidian?

Universiteit Twente

3

H index

2

i10 index

219

Citations

RESEARCH PRODUCTION:

2

Articles

1

Papers

RESEARCH ACTIVITY:

   8 years (1996 - 2004). See details.
   Cites by year: 27
   Journals where Farshid Jamshidian has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 0 (0 %)

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   Permalink: http://citec.repec.org/pja96
   Updated: 2019-11-16    RAS profile: 2007-07-17    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Farshid Jamshidian.

Is cited by:

Pelsser, Antoon (12)

Pietersz, Raoul (9)

Schlogl, Erik (8)

Joshi, Mark (6)

Brigo, Damiano (3)

Groenen, Patrick (3)

Belomestny, Denis (2)

Trojani, Fabio (2)

Gnoatto, Alessandro (2)

Densing, Martin (2)

Driessen, Joost (2)

Cites to:

Jarrow, Robert (2)

Sandmann, Klaus (2)

Scholes, Myron (1)

Rogers, Leonard (1)

Joshi, Mark (1)

Кабанов, Юрий (1)

merton, robert (1)

Bjork, Tomas (1)

Main data


Where Farshid Jamshidian has published?


Journals with more than one article published# docs
Finance and Stochastics2

Recent works citing Farshid Jamshidian (2018 and 2017)


YearTitle of citing document
2017Back-of-the-envelope swaptions in a very parsimonious multicurve interest rate model. (2017). Baviera, Roberto. In: Papers. RePEc:arx:papers:1712.06466.

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2018Arbitrage-Free Interpolation in Models of Market Observable Interest Rates. (2018). Schlogl, Erik. In: Papers. RePEc:arx:papers:1806.08107.

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2018The Co-Terminal Swap Market Model with Bergomi Stochastic Volatility. (2018). Oya, Kenjiro. In: Papers. RePEc:arx:papers:1808.08054.

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2019Christmas Jump in LIBOR. (2019). Miheev, Serge E ; Mikheev, Vikenty. In: Papers. RePEc:arx:papers:1908.10014.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2017Understanding mortgage spreads. (2017). Lucca, David ; Fuster, Andreas ; Boyarchenko, Nina. In: Staff Reports. RePEc:fip:fednsr:674.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2017Pricing Option on Commodity Futures under String Shock. (2017). Laha, A K ; Deepak, Bisht . In: IIMA Working Papers. RePEc:iim:iimawp:14573.

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2017Valuation of certain CMS spreads. (2017). Wu, Ping ; Elliott, Robert J. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:4:d:10.1007_s11408-017-0301-4.

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2017Calibrating a market model with stochastic volatility to commodity and interest rate risk. (2017). Schlogl, Erik ; Pilz, K F ; Karlsson, P. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:6:p:907-925.

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2018Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:3-2018.

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2018Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:40.

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2017CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs. (2017). Gogala, Jaka ; Kennedy, Joanne E. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:02:n:s0219024917500212.

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2018EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL. (2018). van Appel, Jacques ; McWalter, Thomas A. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500206.

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Works by Farshid Jamshidian:


YearTitleTypeCited
1996Scenario Simulation: Theory and methodology (*) In: Finance and Stochastics.
[Full Text][Citation analysis]
article25
1997LIBOR and swap market models and measures (*) In: Finance and Stochastics.
[Full Text][Citation analysis]
article191
2004Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6) In: Finance.
[Full Text][Citation analysis]
paper3

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