Details about Farshid Jamshidian

Access statistics for papers by Farshid Jamshidian.

Last updated 2019-12-16. Update your information in the RePEc Author Service.

Short-id: pja96

Working Papers

2008

1. Numeraire Invariance and application to Option Pricing and Hedging
   MPRA Paper, University Library of Munich, Germany View citations (2)
2. On the combinatorics of iterated stochastic integrals
   MPRA Paper, University Library of Munich, Germany

2007

3. Exchange Options
   MPRA Paper, University Library of Munich, Germany

2005

4. Chaotic expansion of powers and martingale representation (v1.2)
   Finance, University Library of Munich, Germany View citations (2)
5. Chaotic expansion of powers and martingale representation (v1.5)
   GE, Growth, Math methods, University Library of Munich, Germany View citations (1)

2004

6. Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (v1.6)
   Finance, University Library of Munich, Germany View citations (4)

Journal Articles

2008

1. BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES
   Mathematical Finance, 2008, 18, (3), 427-443

2004

2. Valuation of credit default swaps and swaptions
   Finance and Stochastics, 2004, 8, (3), 343-371 View citations (28)

1997

3. LIBOR and swap market models and measures (*)
   Finance and Stochastics, 1997, 1, (4), 293-330 View citations (216)

1996

4. Bond, futures and option evaluation in the quadratic interest rate model
   Applied Mathematical Finance, 1996, 3, (2), 93-115 View citations (25)
5. Scenario Simulation: Theory and methodology (*)
   Finance and Stochastics, 1996, 1, (1), 43-67 View citations (24)

1995

6. A simple class of square-root interest-rate models
   Applied Mathematical Finance, 1995, 2, (1), 61-72 View citations (15)

1994

7. Hedging quantos, differential swaps and ratios
   Applied Mathematical Finance, 1994, 1, (1), 1-20 View citations (4)

1993

8. Option and Futures Evaluation With Deterministic Volatilities1
   Mathematical Finance, 1993, 3, (2), 149-159 View citations (20)

1992

9. ASYMPTOTICALLY OPTIMAL PORTFOLIOS
   Mathematical Finance, 1992, 2, (2), 131-150 View citations (16)