Dr. Md. Sharif Ullah Mozumder
(Professor)Department of Mathematics
Short Biography:
Dr. Sharif Mozumder is currently a professor of Mathematical Finance & Actuarial Science. After his graduation in Mathematics with Actuarial Science from Concordia University, Canada, he moved to The University of Nottingham Business School, UK, for his PhD research in Mathematical Finance.
In addition to completing research projects funded by UGC ...
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| 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 | |||||
Research Interest
| Subject | Description | Research Interest (Goal, Target Indicator) |
|---|---|---|
| No research interest is found | ||
Project/Research Supervision
| Level of Study | Title | Supervisor | Co-Supervisor(s) | Name of Student(s) | Area of Research | Current Completion |
|---|---|---|---|---|---|---|
| No project/research supervision is found | ||||||
Project/Research Work
| Subject | Project Name | Source of Fund | From Date | To Date | Collaboration |
|---|---|---|---|---|---|
| No project/research work is found | |||||
Invited Talk
| 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 | |
|---|---|
| 1 |
Sharif Mozumder, Bart Frijns (Netherlands), Bakhtear Talukdar (Wisconsin, USA) and M. H. Kabir (Massey, NZ) : On practitioners closed-form GARCH option pricing,
International Review of Financial Analysis (impact factor:8.2) , vol.94 Elsevier (North-Holland) , 2024
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| 2 |
Sharif Mozumder, M Kabir Hassan (New Orleans, USA) and M.H. Kabir( Massey, NZ) : An evaluation of the adequacy of Lévy and extreme value tail risk estimates,
Financial Innovation (impact factor:8.4) , vol.10 , no.1 Springer, Germany , 2024
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| 3 |
Sharif Mozumder, Mohammad Zoynul Abedin(Swansea, UK), Raad Lalon (Dhaka) and Amjad Hossain( Chittagong) : Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study,
Computational Economics (impact factor:2) Springer, USA , pp.1-38 , 2024
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| 4 |
Sharif Mozumder, M Kabir Hassan (New Orleans, USA), Ghulam Sorwar (Keele, UK) and José Antonio Pérez Amuedo (New Orleans, USA) : Distribution of big claims in a Lévy insurance risk process: Analytics of a new non-parametric estimator,
Communications in Statistics-Theory and Methods Taylor & Francis , pp.1-26 , 2024
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| 5 |
Sharif Mozumder, B Talukdar (Wisconsin), M.H. Kabir(Massey) and Bingxin Li(West Virginia) : Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing,
Review of Quantitative Finance and Accountin (impact factor:1.7) , vol.62 , no.1 Springer, USA , pp.97-133 , 2023
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| 6 |
Sharif Mozumder, Taufiq Choudhry ( Southampton, UK) and Mike Dempsey (RMIT, Australia) : Option Pricing Model Biases: Bayesian and Markov Chain Monte Carlo Regression Analysis,
Computational Economics (impact factor:2) , vol.57 , no.4 Springer , pp.1287–1305 , 2021
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| 7 |
Sharif Mozumder, Humayun Kabir (Massey, NZ), Taufiq Choudhry (Southampton, UK) and Michael Dempsey (RMIT, Australia) : Risk Management under Time Varying Volatility and Pareto-Stable Distribution,
Applied Economics Letters (impact factor:0.504) Taylor & Francis, UK , 2019
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| 8 |
Sharif Mozumder, Taufiq Chowdhury (Southampton, UK) and Mike Dempsey (RMIT, Australia) : Spectral Measures of Risk for International Futures Markets: Comparison of Extreme Value and Levy Models,
Global Finance Journal (impact factor:5) Springer, USA , 2018
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| 9 |
Sharif Mozumder, Humayun kabir (Massey, NZ) and Mike Dempsey (RMIT, Australia) : Pricing and Hedging Options with GARCH-stable Proxy Volatilities.,
Applied Economics (impact factor:0.750) Taylor & Francis, UK , 2018
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| 10 |
Sharif Mozumder, Michael Dempsey (RMIT, Australia) and Humayun Kabir (Massey, NZ) : Back-testing Extreme Value and Lévy Value-at-Risk Models: Evidence from International Futures Markets,
The Journal of Risk Finance (impact factor:0.96) Emerald, UK , 2017
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| 11 |
Sharif Mozumder, Humayun kabir (Massey, NZ) and Mike Dempsey (RMIT, Australia) : Do Coherent Risk Measures Identify Assets Risk Profiles Similarly? Evidence from International Futures Markets,
Investment Management and Financial Innovations (impact factor:0.44) Business Perspectives , 2017
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| 12 |
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 World Scientific , 2016
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| 13 |
Sharif Mozumder, Mike Dempsey (RMIT, Australia), Humayun Kabir (Massey, NZ) and Taufiq Choudhry (Southampton, UK) : An Improved Framework for Approximating Option Prices with Application to Option Portfolio Hedging,
Economic Modelling (impact factor:4.7) Elsevier , 2016
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| 14 |
Sharif Mozumder, Ghulam Sorwar (Salford, Manchester, UK) and Kevin Dowd (Durham, UK) : Revisiting Variance Gamma Pricing : An application to S&P 500 Index Options.,
Journal of Financial Engineering World Scientific , 2015
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| 15 |
Sharif Mozumder, Kevin Dowd(Nottingham, UK) and Ghulam Sorwar (Nottingham, UK) : Option Pricing Under Non-normality: A comparative Analysis,
Review of Quantitative Finance and Accounting (impact factor:1.7) Springer, USA , 2013
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| 16 |
Jose Garrido (Concordia, Canada) 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:0.5) Springer , 2008
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| Award Type | Title | Year | Country | Description |
|---|---|---|---|---|
| International | ESRC | 2008 | United Kingdom | |
| International | NSERC | 2005 | Canada |
Dr. Md. Sharif Ullah Mozumder
Professor
Department of Mathematics
Faculty of Science
Email: sharif_math2000@yahoo.com