Farshid Jamshidian is a finance researcher, academic and practitioner. His experience covers both

fixed-income Fixed income refers to any type of investment under which the borrower or issuer is obliged to make payments of a fixed amount on a fixed schedule. For example, the borrower may have to pay interest at a fixed rate once a year and repay the pri ...

and

equity Equity may refer to: Finance, accounting and ownership * Equity (finance), ownership of assets that have liabilities attached to them ** Stock, equity based on original contributions of cash or other value to a business ** Home equity, the dif ...

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, th ...

modelling, amongst other contributions, developing the use of the

forward measure Forward is a relative direction, the opposite of backward. Forward may also refer to: People * Forward (surname) Sports * Forward (association football) * Forward (basketball), including: ** Point forward ** Power forward (basketball) ** Sma ...

, and "

Jamshidian's trick Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but ...

", 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 futur ...

s. He is professor of

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

at the

University of Twente The University of Twente (Dutch: ''Universiteit Twente''; , abbr. ) is a 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 NIBC Bank N.V. is a commercial bank in the Netherlands offering corporate and retail banking products and services. Its corporate banking activities range from advising, structuring, financing and co-investing across debt and equity in Northwest ...

. He is a member of the Editorial Board of ''The

Journal of Fixed Income ''The Journal of Fixed Income'' is a quarterly academic journal that covers quantitative research on fixed income instruments: mortgage-backed security, mortgage-backed securities, high-yield debt, municipal bonds, corporate bonds, asset-backed sec ...

''. 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 (officially Merrill Lynch, Pierce, Fenner & Smith Incorporated), previously branded Merrill Lynch, is an American investment management and wealth management division of Bank of America. Along with BofA Securities, the investment bank ...

. 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, U of C, or UChi) is a private research university in Chicago, Illinois. Its main campus is located in Chicago's Hyde Park neighborhood. The University of Chicago is consistently ranked among the b ...

and the

University of California, Berkeley The University of California, Berkeley (UC Berkeley, Berkeley, Cal, or California) is a public land-grant research university in Berkeley, California. Established in 1868 as the University of California, it is the state's first land-grant u ...

. He earned a

Ph.D. A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is ...

mathematics Mathematics is an area of knowledge that includes the topics of numbers, formulas and related structures, shapes and the spaces in which they are contained, and quantities and their changes. These topics are represented in modern mathematics ...

from

Harvard University Harvard University is a private Ivy League research university in Cambridge, Massachusetts. Founded in 1636 as Harvard College and named for its first benefactor, the Puritan clergyman John Harvard, it is the oldest institution of higher le ...

(1980) and an MSc in

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

from

Stanford University Stanford University, officially Leland Stanford Junior University, is a private research university in Stanford, California. The campus occupies , among the largest in the United States, and enrolls over 17,000 students. Stanford is consider ...

References

External links

Prof. Dr. Farshid Jamshidian
utwente.nl
SSRN Author Page
Financial economists Harvard University alumni Stanford University alumni University of Twente faculty 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