Citation profile for Farshid Jamshidian

Farshid Jamshidian : Citation Profile

Universiteit Twente

H index

i10 index

349

Citations

RESEARCH PRODUCTION:

Articles

Papers

RESEARCH ACTIVITY:

   16 years (1992 - 2008). See details.
   Cites by year: 21
   Journals where Farshid Jamshidian has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 5 (1.41 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja96
   Updated: 2024-12-03    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)

Schlogl, Erik (11)

Pietersz, Raoul (11)

Brigo, Damiano (7)

Joshi, Mark (6)

Wu, Liuren (5)

Rogers, Leonard (3)

Douady, Raphael (3)

Leippold, Markus (3)

Garivaltis, Alexander (3)

Groenen, Patrick (3)

Cites to:

merton, robert (3)

Scholes, Myron (3)

Jarrow, Robert (2)

Kreps, David (2)

Sandmann, Klaus (2)

Кабанов, Юрий (1)

Rogers, Leonard (1)

Joshi, Mark (1)

Longstaff, Francis (1)

Main data

Where Farshid Jamshidian has published?

Journals with more than one article published	# docs
Finance and Stochastics	3
Applied Mathematical Finance	3
Mathematical Finance	3

Working Papers Series with more than one paper published	# docs
MPRA Paper / University Library of Munich, Germany	3
Finance / University Library of Munich, Germany	2

Recent works citing Farshid Jamshidian (2024 and 2023)

Year	Title of citing document
2024	Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166. Full description at Econpapers \|\| Download paper
2024	Simultaneous upper and lower bounds of American option prices with hedging via neural networks. (2023). Wu, Jia Hao ; Langren, Nicolas ; Guo, Ivan. In: Papers. RePEc:arx:papers:2302.12439. Full description at Econpapers \|\| Download paper
2023	Simulating Gaussian vectors via randomized dimension reduction and PCA. (2023). Kahale, Nabil. In: Papers. RePEc:arx:papers:2304.07377. Full description at Econpapers \|\| Download paper
2023	The Effects of the LIBOR Scandal on Volatility and Liquidity in LIBOR Futures Markets. (2023). Bachmair, K. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2303. Full description at Econpapers \|\| Download paper
2023	Valuation of callable range accrual linked to CMS Spread under generalized swap market model. (2023). Huang, Zi-Wei ; Hsieh, Chang-Chieh ; He, Jie-Cao ; Lin, Shih-Kuei. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004726. Full description at Econpapers \|\| Download paper
2023	Analysing Quantiles in Models of Forward Term Rates. (2023). van Appel, Jacques ; Schlogl, Erik ; McWalter, Thomas A. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:2:p:29-:d:1049181. Full description at Econpapers \|\| Download paper
2023	Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model. (2023). Eghbalzadeh, Ramin ; Godin, Frederic ; Gaillardetz, Patrice. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:2:d:10.1007_s11147-023-09196-4. Full description at Econpapers \|\| Download paper
2023	Discrete approximations of continuous probability distributions obtained by minimizing Cramér-von Mises-type distances. (2023). Barbiero, Alessandro ; Hitaj, Asmerilda. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01356-2. Full description at Econpapers \|\| Download paper

Works by Farshid Jamshidian:

Year	Title	Type	Cited
2008	BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES In: Mathematical Finance. [Full Text][Citation analysis]	article	0
1992	ASYMPTOTICALLY OPTIMAL PORTFOLIOS In: Mathematical Finance. [Full Text][Citation analysis]	article	16
1993	Option and Futures Evaluation With Deterministic Volatilities1 In: Mathematical Finance. [Full Text][Citation analysis]	article	16
2007	Exchange Options In: MPRA Paper. [Full Text][Citation analysis]	paper	0
2008	On the combinatorics of iterated stochastic integrals In: MPRA Paper. [Full Text][Citation analysis]	paper	0
2008	Numeraire Invariance and application to Option Pricing and Hedging In: MPRA Paper. [Full Text][Citation analysis]	paper	2
1996	*Scenario Simulation: Theory and methodology ()** In: Finance and Stochastics. [Full Text][Citation analysis]	article	23
1997	*LIBOR and swap market models and measures ()** In: Finance and Stochastics. [Full Text][Citation analysis]	article	215
2004	Valuation of credit default swaps and swaptions In: Finance and Stochastics. [Full Text][Citation analysis]	article	28
1994	Hedging quantos, differential swaps and ratios In: Applied Mathematical Finance. [Full Text][Citation analysis]	article	3
1995	A simple class of square-root interest-rate models In: Applied Mathematical Finance. [Full Text][Citation analysis]	article	15
1996	Bond, futures and option evaluation in the quadratic interest rate model In: Applied Mathematical Finance. [Full Text][Citation analysis]	article	25
2004	Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6) In: Finance. [Full Text][Citation analysis]	paper	4
2005	Chaotic expansion of powers and martingale representation (v1.2) In: Finance. [Full Text][Citation analysis]	paper	1
2005	Chaotic expansion of powers and martingale representation (v1.5) In: GE, Growth, Math methods. [Full Text][Citation analysis]	paper	1