Farshid Jamshidian : Citation Profile


Are you Farshid Jamshidian?

Universiteit Twente

7

H index

7

i10 index

298

Citations

RESEARCH PRODUCTION:

9

Articles

6

Papers

RESEARCH ACTIVITY:

   16 years (1992 - 2008). See details.
   Cites by year: 18
   Journals where Farshid Jamshidian has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 5 (1.65 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja96
   Updated: 2022-01-15    RAS profile: 2019-12-16    
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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 (11)

Schlogl, Erik (9)

Brigo, Damiano (7)

Joshi, Mark (6)

Rogers, Leonard (3)

Garivaltis, Alexander (3)

Gnoatto, Alessandro (3)

Groenen, Patrick (3)

Driessen, Joost (2)

Zenios, Stavros (2)

Cites to:

merton, robert (3)

Scholes, Myron (3)

Jarrow, Robert (2)

Sandmann, Klaus (2)

Kreps, David (2)

Кабанов, Юрий (1)

Bjork, Tomas (1)

Rogers, Leonard (1)

Joshi, Mark (1)

Main data


Where Farshid Jamshidian has published?


Journals with more than one article published# docs
Applied Mathematical Finance3
Finance and Stochastics3
Mathematical Finance3

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany3
Finance / University Library of Munich, Germany2

Recent works citing Farshid Jamshidian (2021 and 2020)


YearTitle of citing document
2021Universal Risk Budgeting. (2021). Garivaltis, Alex. In: Papers. RePEc:arx:papers:2106.10030.

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2020LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC. (2020). Fergusson, Kevin. In: ASTIN Bulletin. RePEc:cup:astinb:v:50:y:2020:i:2:p:381-417_3.

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2020Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.

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2020Valuation of caps and swaptions under a stochastic string model. (2020). Navas, Javier ; Moreno, Manuel ; Bueno-Guerrero, Alberto. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:559:y:2020:i:c:s0378437120305744.

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2021.

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2020Jacobi Stochastic Volatility factor for the Libor Market Model. (2020). Boumezoued, Alexandre ; Lapeyre, Bernard ; Mehalla, Sophian ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-02468583.

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2020Linear credit risk models. (2020). Filipovi, Damir ; Ackerer, Damien . In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00409-z.

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Works by Farshid Jamshidian:


YearTitleTypeCited
2008BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES In: Mathematical Finance.
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article0
1992ASYMPTOTICALLY OPTIMAL PORTFOLIOS In: Mathematical Finance.
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article13
1993Option and Futures Evaluation With Deterministic Volatilities1 In: Mathematical Finance.
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article15
2007Exchange Options In: MPRA Paper.
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paper0
2008On the combinatorics of iterated stochastic integrals In: MPRA Paper.
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paper0
2008Numeraire Invariance and application to Option Pricing and Hedging In: MPRA Paper.
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paper1
1996Scenario Simulation: Theory and methodology (*) In: Finance and Stochastics.
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article21
1997LIBOR and swap market models and measures (*) In: Finance and Stochastics.
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article196
2004Valuation of credit default swaps and swaptions In: Finance and Stochastics.
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article25
1994Hedging quantos, differential swaps and ratios In: Applied Mathematical Finance.
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article2
1995A simple class of square-root interest-rate models In: Applied Mathematical Finance.
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article10
1996Bond, futures and option evaluation in the quadratic interest rate model In: Applied Mathematical Finance.
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article12
2004Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6) In: Finance.
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paper3
2005Chaotic expansion of powers and martingale representation (v1.2) In: Finance.
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paper0
2005Chaotic expansion of powers and martingale representation (v1.5) In: GE, Growth, Math methods.
[Full Text][Citation analysis]
paper0

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