Farshid Jamshidian : Citation Profile

Are you Farshid Jamshidian?

Universiteit Twente

7

H index

7

i10 index

348

Citations

RESEARCH PRODUCTION:

9

Articles

6

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: 13.    Total self citations: 5 (1.42 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pja96
   Updated: 2024-11-04    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)

Scaillet, Olivier (3)

Rogers, Leonard (3)

Groenen, Patrick (3)

Leippold, Markus (3)

Garivaltis, Alexander (3)

Cites to:

merton, robert (3)

Scholes, Myron (3)

Sandmann, Klaus (2)

Jarrow, Robert (2)

Kreps, David (2)

Joshi, Mark (1)

Longstaff, Francis (1)

Кабанов, Юрий (1)

Rogers, Leonard (1)

Main data

Where Farshid Jamshidian has published?

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

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 (2024 and 2023)

YearTitle of citing document
2024Chaotic Hedging with Iterated Integrals and Neural Networks. (2022). Schmocker, Philipp ; Neufeld, Ariel. In: Papers. RePEc:arx:papers:2209.10166.

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2024Simultaneous 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.

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2023Simulating Gaussian vectors via randomized dimension reduction and PCA. (2023). Kahale, Nabil. In: Papers. RePEc:arx:papers:2304.07377.

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2023The 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.

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2023Valuation 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.

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2023Analysing 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.

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2023Pricing 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.

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2023Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi. (2015). Kralova, Dana Cichova . In: Politická ekonomie. RePEc:prg:jnlpol:v:2015:y:2015:i:6:id:1023:p:714-758.

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2023Discrete 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.

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Works by Farshid Jamshidian:

YearTitleTypeCited
2008BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES In: Mathematical Finance.
[Full Text][Citation analysis]		article0
1992ASYMPTOTICALLY OPTIMAL PORTFOLIOS In: Mathematical Finance.
[Full Text][Citation analysis]		article15
1993Option and Futures Evaluation With Deterministic Volatilities1 In: Mathematical Finance.
[Full Text][Citation analysis]		article16
2007Exchange Options In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2008On the combinatorics of iterated stochastic integrals In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2008Numeraire Invariance and application to Option Pricing and Hedging In: MPRA Paper.
[Full Text][Citation analysis]		paper2
1996Scenario Simulation: Theory and methodology (*) In: Finance and Stochastics.
[Full Text][Citation analysis]		article23
1997LIBOR and swap market models and measures (*) In: Finance and Stochastics.
[Full Text][Citation analysis]		article215
2004Valuation of credit default swaps and swaptions In: Finance and Stochastics.
[Full Text][Citation analysis]		article28
1994Hedging quantos, differential swaps and ratios In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article3
1995A simple class of square-root interest-rate models In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article15
1996Bond, futures and option evaluation in the quadratic interest rate model In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article25
2004Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6) In: Finance.
[Full Text][Citation analysis]		paper4
2005Chaotic expansion of powers and martingale representation (v1.2) In: Finance.
[Full Text][Citation analysis]		paper1
2005Chaotic expansion of powers and martingale representation (v1.5) In: GE, Growth, Math methods.
[Full Text][Citation analysis]		paper1

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