Farshid Jamshidian | Academic Influence

Farshid Jamshidian's AcademicInfluence.com Rankings

Farshid Jamshidian

Economics

#1965

World Rank

#2249

Historical Rank

Financial Economics

#89

World Rank

#89

Historical Rank

economics Degrees

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Economics

Farshid Jamshidian's Degrees

PhD Finance Stanford University
Masters Economics Columbia University
Bachelors Economics Columbia University

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Why Is Farshid Jamshidian Influential?

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According to Wikipedia, 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, amongst other contributions, developing the use of the forward measure, and "Jamshidian's trick", widely applied in the pricing of bond options.

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Farshid Jamshidian's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

LIBOR and swap market models and measures (1997) (701)
An Exact Bond Option Formula (1989) (678)
Scenario Simulation: Theory and methodology (1996) (158)
Valuation of credit default swaps and swaptions (2004) (131)
Forward Induction and Construction of Yield Curve Diffusion Models (1991) (106)
Bond, futures and option evaluation in the quadratic interest rate model (1996) (80)
A simple class of square-root interest-rate models (1995) (58)
Option and Futures Evaluation With Deterministic Volatilities (1993) (58)
Libor Market Model With Semimartingales (1999) (54)
The Duality of Optimal Exercise and Domineering Claims: a Doob-Meyer Decomposition Approach to the Snell Envelope (2007) (52)
Asymptotically Optimal Portfolios (1992) (51)
Numeraire-invariant option pricing & american, bermudan, and trigger stream rollover (2004) (19)
Hedging quantos, differential swaps and ratios (1994) (17)
Numeraire-invariant option pricing and american, bermudan, trigger stream rollover (2004) (7)
Numeraire Invariance and application to Option Pricing and Hedging (2008) (6)
BIVARIATE SUPPORT OF FORWARD LIBOR AND SWAP RATES (2006) (5)
Replication of flexi-swaps (2005) (5)
Chaotic expansion of powers and martingale representation (2005) (5)
Exchange Options (2007) (4)
On the combinatorics of iterated stochastic integrals (2008) (4)
Exchange Options (2007) (4)
The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (2007) (3)
TRIVARIATE SUPPORT OF FLAT‐VOLATILITY FORWARD LIBOR RATES (2007) (1)
Forward and Swap Measures (2010) (1)
Scenario Simulation Model for Fixed Income Portfolio Risk Management (2015) (0)
Invariant Option Pricing & Minimax Duality of American and Bermudan Options [presentation] (2005) (0)
Scenario Simulation Method for Risk Management (2008) (0)
Interest rates l Cutting edge Replication of flexi-swaps (0)
Various identities for iterated integrals of a semimartingale (2005) (0)

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What Schools Are Affiliated With Farshid Jamshidian?

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