Farshid Jamshidian
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 modelling,[1][2] amongst other contributions, developing the use of the forward measure, and "Jamshidian's trick", widely applied in the pricing of bond options.
![](../I/m/Farshid_Jamshidian%2C_Sep_1984_(headshot).jpg)
He is professor of Applied Mathematics at the University of Twente, and is at NIBC Bank. He is a member of the Editorial Board of The Journal of Fixed Income.[3] 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. 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 and the University of California, Berkeley.[2]
He earned a Ph.D. in mathematics from Harvard University (1980)[4] and an MSc in computer science from Stanford University.[5]
References
- "Archived copy". Archived from the original on 2012-04-26. Retrieved 2011-12-21.CS1 maint: archived copy as title (link)
- "NetAnalytic Founder Joins J.P. Morgan Derivatives Spin-Off - Wall Street & Technology". Wallstreetandtech.com. Archived from the original on 12 May 2012. Retrieved 4 December 2017.
- Farshid Jamshidian at the Mathematics Genealogy Project
- "Archived copy". Archived from the original on 2011-12-05. Retrieved 2011-12-21.CS1 maint: archived copy as title (link)