Farshid Jamshidian is a finance researcher, academic and practitioner. His experience covers both fixed-income and equity research and trading. Dr. Jamshidian has made important contributions to the theory of derivatives pricing, and has published extensively, especially on

interest rate An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited, or borrowed (called the principal sum). The total interest on an amount lent or borrowed depends on the principal sum, the interest rate, ...

modelling, amongst other contributions, developing the use of the

forward measure In finance, a ''T''-forward measure is a pricing measure equivalent to a risk-neutral measure, but rather than using the money market as numeraire, it uses a bond with maturity ''T''. The use of the forward measure was pioneered by Farshid Jamshi ...

, and " Jamshidian's trick", widely applied in the pricing of

bond option In finance, a bond option is an option to buy or sell a bond at a certain price on or before the option expiry date. These instruments are typically traded OTC. *A European bond option is an option to buy or sell a bond at a certain date in fu ...

s. He is professor of

Applied Mathematics Applied mathematics is the application of mathematics, mathematical methods by different fields such as physics, engineering, medicine, biology, finance, business, computer science, and Industrial sector, industry. Thus, applied mathematics is a ...

at the

University of Twente The University of Twente ( ; Abbreviation, abbr. ) is a Public university, public technical university located in Enschede, Netherlands. The university has been placed in the top 170 universities in the world by multiple central ranking tables. ...

, and is at NIBC Bank. He is a member of the editorial board of ''The Journal of Fixed Income''. Previously he was managing director of NetAnalytic, a risk management products and services company he founded in 1999; managing director of New Products and Equity Derivatives at Sakura Global Capital; executive director of Technical Trading at Fuji International Finance; and head of quantitative fixed-income research at

Merrill Lynch Merrill Lynch, Pierce, Fenner & Smith Incorporated, doing business as Merrill, and previously branded Merrill Lynch, is an American investment management and wealth management division of Bank of America. Along with BofA Securities, the investm ...

. As an academic, he was an associate editor of '' Finance and Stochastics'' and ''The Journal of Computational Finance'' and served as a faculty member in the mathematics departments at the

University of Chicago The University of Chicago (UChicago, Chicago, or UChi) is a Private university, private research university in Chicago, Illinois, United States. Its main campus is in the Hyde Park, Chicago, Hyde Park neighborhood on Chicago's South Side, Chic ...

and the

University of California, Berkeley The University of California, Berkeley (UC Berkeley, Berkeley, Cal, or California), is a Public university, public Land-grant university, land-grant research university in Berkeley, California, United States. Founded in 1868 and named after t ...

. He earned a Ph.D. in

mathematics Mathematics is a field of study that discovers and organizes methods, Mathematical theory, theories and theorems that are developed and Mathematical proof, proved for the needs of empirical sciences and mathematics itself. There are many ar ...

from

Harvard University Harvard University is a Private university, private Ivy League research university in Cambridge, Massachusetts, United States. Founded in 1636 and named for its first benefactor, the History of the Puritans in North America, Puritan clergyma ...

(1980) and an MSc in

computer science Computer science is the study of computation, information, and automation. Computer science spans Theoretical computer science, theoretical disciplines (such as algorithms, theory of computation, and information theory) to Applied science, ...

from

Stanford University Leland Stanford Junior University, commonly referred to as Stanford University, is a Private university, private research university in Stanford, California, United States. It was founded in 1885 by railroad magnate Leland Stanford (the eighth ...

References

External links

Prof. Dr. Farshid Jamshidian
utwente.nl
SSRN Author Page
Financial economists Harvard University alumni Stanford University alumni Academic staff of the University of Twente University of Chicago faculty University of California, Berkeley College of Letters and Science faculty Merrill (company) people Living people Year of birth missing (living people) {{economist-stub