Farshid Jamshidian
Farshid Jamshidian | |
|---|---|
| Education | PhD in Mathematics, Harvard University (1980); Master's in Computer Science, Stanford University |
| Occupation(s) | Scholar, researcher, professor |
| Years active | 1980–present |
| Employer(s) | University of Twente, NIBC Bank |
| Known for | Derivatives pricing methodologies, interest rate modelling, Jamshidian's trick |
Farshid Jamshidian is a scholar, researcher, and practitioner in finance, specializing in fixed-income and equity markets research and trading. He has played a pivotal role in advancing derivatives pricing methodologies, with notable achievements in interest rate modelling, the application of the forward measure, and the development of the technique known as "Jamshidian's trick," which is extensively utilized for valuing bond options.
Currently, he holds a professorship in Applied Mathematics at the University of Twente and maintains an association with NIBC Bank. Jamshidian also contributes as a member of the editorial board for The Journal of Fixed Income. His previous leadership roles include founding and serving as managing director of NetAnalytic, a company offering risk management solutions established in 1999; managing director responsible for New Products and Equity Derivatives at Sakura Global Capital; executive director of Technical Trading at Fuji International Finance; and leading quantitative fixed-income research at Merrill Lynch. In academia, he has been an associate editor for both Finance and Stochastics and The Journal of Computational Finance, and held faculty positions in mathematics at the University of Chicago as well as the University of California, Berkeley.
Jamshidian completed his doctoral studies in mathematics at Harvard University in 1980 and obtained a master's degree in computer science from Stanford University.
