Department of Mathematics
Degree Name | Group/Major Subject | Board/Institute | Country | Passing Year |
---|---|---|---|---|
Ph.D. | Financial Mathematics | The University of Nottingham | United Kingdom | 2011 |
Masters | Actuarial Science | Concordia University | Canada | 2007 |
Title | Organization | Location | From Date | To Date | |
---|---|---|---|---|---|
No experience is found |
Subject | Description | Research Interest (Goal, Target Indicator) |
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No research interest is found |
Level of Study | Title | Supervisor | Co-Supervisor(s) | Name of Student(s) | Area of Research | Current Completion |
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No project/research supervision is found |
Subject | Project Name | Source of Fund | From Date | To Date | Collaboration |
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No project/research work is found |
SL | Invited Talk |
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No invited talk is found |
SL | Collaboration & Membership Name | Type | Membership Year | Expire Year |
---|---|---|---|---|
No Collaboration & Membership is found |
Journal Article | |
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1 |
Sharif Mozumder, Humayun Kabir, Taufiq Choudhry and Michael Dempsey : Risk Management under Time Varying Volatility and Pareto-Stable Distribution,
Applied Economics Letters (impact factor:0.504) , 2019
.
|
2 |
Sharif Mozumder, Humayun kabir and Mike Dempsey : Pricing and Hedging Options with GARCH-stable Proxy Volatilities.,
Applied Economics (impact factor:0.750) , 2018
.
|
3 |
Sharif Mozumder, Taufiq Chowdhury and Mike Dempsey : Spectral Measures of Risk for International Futures Markets: Comparison of Extreme Value and Levy Models,
Global Finance Journal (impact factor:1.69) , 2018
.
|
4 |
Sharif Mozumder, Michael Dempsey and Humayun Kabir : Back-testing Extreme Value and Lévy Value-at-Risk Models: Evidence from International Futures Markets,
The Journal of Risk Finance (impact factor:0.96) , 2017
.
|
5 |
Sharif Mozumder, Humayun kabir and Mike Dempsey : Do Coherent Risk Measures Identify Assets Risk Profiles Similarly? Evidence from International Futures Markets,
Investment Management and Financial Innovations (impact factor:0.44) , 2017
.
|
6 |
Sharif Mozumder and Arafatur Rahman : Market Risk of Investment in US Subprime Crisis: Comparison of a Pure Diffusion and a Pure Jump Model,
Annals of Financial Economics , 2016
.
|
7 |
Sharif Mozumder, Mike Dempsey, Humayun Kabir and Taufiq Choudhry : An Improved Framework for Approximating Option Prices with Application to Option Portfolio Hedging,
Economic Modelling (impact factor:2.056) , 2016
.
|
8 |
Sharif Mozumder, Ghulam Sorwar and Kevin Dowd : Revisiting Variance Gamma Pricing : An application to S&P 500 Index Options.,
Journal of Financial Engineering , 2015
.
|
9 |
Sharif Mozumder, Kevin Dowd and Ghulam Sorwar : Option Pricing Under Non-normality: A comparative Analysis,
Review of Quantitative Finance and Accounting (impact factor:0.95) , 2013
.
|
10 |
Jose Garrido and Sharif Mozumder : A Note on the Relation Between the Lévy Measure and the Jump Function of a Lévy Process,
Annales mathématiques du Québec (impact factor:0.28) , 2008
.
|
11 |
Sharif Mozumder, Taufiq Choudhry and Mike Dempsey : Option Pricing Model Biases: Bayesian and Markov Chain Monte Carlo Regression Analysis,
Computational Economics (impact factor:1.876) , vol.57 , no.4 Springer , pp.1287–1305 , 2021
.
|
Award Type | Title | Year | Country | Description |
---|---|---|---|---|
International | ESRC | 2008 | United Kingdom | |
International | NSERC | 2005 | Canada |