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.
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]