Department of Mathematics

Notice

News

Event

AF Mujubar Rahman Gold Medal Award Giving Ceremony

Fresher Reception' 2017

Details of Dr. Md. Sharif Ullah Mozumder


Funds: ESRC (UK), NSERC(Canada), JP Morgan( research support ), Some other supports jointly with co-authors for quantitative finance and risk management research.

Journal Papers (Published)

― Back-testing Extreme Value and Lévy Value-at-Risk Models: A Comparison for International Futures Markets (Sharif Mozumder, Michael Dempsey and M. Humayun Kabir) The Journal of Risk Finance Vol18, Issue 1(2017)(forthcoming).(Emerald)

― An Improved Framework for Approximating Option Prices with Application to Option Portfolio Hedging.(S. Mozumder, Mike Dempsey, Humuyun Kabir and Taufiq Choudhry). Economic Modelling Vo.59(2016) pp 285-296 (Elsevier).

―Market Risk of Investment in US Subprime Crisis: Comparison of a Pure Diffusion and a Pure Jump Model.(S.Mozumder and A. Rahman). Annals of Financial Economics ,Vo.11,Issue 3(2016).( World Scientific).

―Revisiting Variance Gamma Pricing : An application to S&P 500 Index Options. (S. Mozumder, G. Sorwar and K. Dowd).  Journal of Financial Engineering  ,Vol.2 (2) (2015).( World Scientific).

―Option Pricing Under Non-normality: A comparative Analysis‖ (S. Mozumder, G. Sorwar and K. Dowd ). Review of Quantitative Finance and Accounting   ,Vol.40 ( 2013), 273–292.(Springer)

―A Note on the Relation Between the Lévy Measure and the Jump Function of a Lévy Process‖ (J. Garrido and S. Mozumder), Annales mathématiques du Québec 32 (2008), no 1, 29-34. (Springer)

                http://link.springer.com/journal/40316  (  This journal was previously published as ‘Ann. Sci. Math. Québec’:   http://www.labmath.uqam.ca/~annales/english/volumes/32-1.html  )              

―Implied Bond and Derivative Prices Based on Non-Linear Stochastic Interest Rate Models‖ (G. Sorwar and S. Mozumder), Applied Mathematics( 2010), Vol 1, 37-43.

             http://www.scirp.org/Journal/PaperInformation.aspx?paperID=1911

―Numerical Schemes and Monte Carlo Method for Black and Scholes Partial Differential Equation: A Comparative Note.( S. Mozumder , ABM  S. Hossain , S. Tasnim , A. Rahman) Universal Journal of Computational Mathematics, (2015) Vol 3 , 50-55.

          http://www.hrpub.org/journals/article_info.php?aid=3105

― Risk Measures for Risk-less Investments: A Verification ( S.Mozumder, A.Rahman and S.Tasnim)    

 International Journal of Sciences and Applied Research (2015),2(5),11-15.

               http://www.ijsar.in/Download/Papers/May%202015/3.pdf

―  On Determinants and Sensitivities of Option Prices in Delayed Black-Scholes Model ‖( S. Hossain and S. Mozumder ) The International Journal of Social Sciences, Vol.11 (1), (2013) , 37-45

                http://tijoss.com/11thVolume.html

― Alternative Approximations to Cobb-Douglas Production Function: A Revisit ( S.Mozumder, M. Anwar  and A. Rahman)   International Journal of Sciences and Applied Research (2015), 2(6), 05-17      

                 http://www.ijsar.in/Archives_June15_pg1.html

―  A Numerical Study of an Application of the Multi-parameter Local Bifurcation Theory ( A.B.M. 

 Hossain,R.Bari, S.Mozumder)  International Journal of Sciences and Applied Research (2015),  2(5),

 30-34.    http://www.ijsar.in/Archives_May15_pg2.html

―On Information Carriage Through Sigma-algebra in Binomial Asset Pricing Model‖, (S.A. Ullah, S. Paul, S. Mozumder ), Journal of Statistical Studies, 28 (2009),1-08. ISSN 1022-4734.

―On execution of fuzzy algorithm to the solution of navigation problem,‖(S. Shirin and S. Mozumder), Journal of Science, University of Dhaka, ISSN 1022-2502, vol 55, No.2, July 2007.

―Some derivations on Lévy and jump processes‖ (S. Mozumder), J. Bang. Math. Soc. 11-22,29(2009).

                 http://www.banglajol.info/index.php/GANIT/article/view/8511

 

Book

On Binomial Asset Pricing Model: With convergence to Black-Scholes model and sigma algebra

Publisher: Lap-lambert Academic Publishing, Germany.

Year of publication: 2010.

Further details can be found at Amazon:

                 http://www.amazon.com/Binomial-Asset-Pricing-Model/dp/3838383915

 

Conference Participation

 4th European Risk Conference, September 13-15, 2010, Nottingham, UK. 

Organizer: European Risk Research Network (ERRN) & Nottingham University Business School.

Presentation title: Option Pricing Under Non-normality: A comparative Analysis

http://link.springer.com/article/10.1007/s12176-011-0023-9

 Group Seminar on Mathematical Finance, 6th August, 2007, Austria.

Organizer: Johan Radon Institute for Computational and Applied Mathematics (RICAM) and Austrian Academy of Science.

Presentation title: Estimation of the Jump Size Distribution in a Lévy Risk Process.

http://www.ricam.oeaw.ac.at/events/info.cgi?id=322

 Joint Meeting of the Statistical Society of Canada and Statistical Society of France. May 25-29, 2008. Ottawa Congress Centre, Ottawa, Canada. 

Organizers: Statistical Society of Canada and Statistical Society of France.

Presentation title: Estimation of the Jump Size Distribution in a Lévy Risk Process.

Please see page 67 in the document available at:

http://www.ssc.ca/archive/main/meetings/Program2008.pdf

 11th International Congress on Insurance: Mathematics and Economics (IME), July 10-12, 2007. 

Organizers: Department of Statistics and Insurance Science, University of Piraeus, Greece.

Presentation title: Estimation of the Jump Size Distribution in a Lévy Risk Process.

http://stat.unipi.gr/ime2007/abstracts_detail.php?recordid=223

 13th  Bose Conference; 4th November,2012. (Commemorating Bose-Einstein contribution )

 

Organizers: Department of  Physics, University of Dhaka.

Presentation title: Alternatives to Extreme Value: Lévy Spectral Risk Measures Applied to Leading  Stock Indices. (first invited paper in session-IIIB)

http://bose.du.ac.bd/

 Group Seminar at ISRT, University of Dhaka, 25TH February, 2013.

Organizers: Institute of Statistical Research and Training(ISRT), University of Dhaka.

Presentation title: Alternatives to Extreme Value: Lévy Spectral Risk Measures Applied to Leading  Stock Indices.

http://www.isrt.ac.bd/node/1453

 41st Actuarial Research Conference, University of Montreal, Montreal, Canada; 10-12 August, 2006.

Organizers: Society of Actuaries & CRM, University of Montreal.

http://www.crm.umontreal.ca/Arc2006/participants.pdf