Dr. Md. Sharif Ullah Mozumder
(Professor)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 | |||||
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 |
|---|---|
| No invited talk is found | |
| SL | Collaboration & Membership Name | Type | Membership Year | Expire Year |
|---|---|---|---|---|
| No Collaboration & Membership is found | ||||
| Journal Article | |
|---|---|
| 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 |
Dr. Md. Sharif Ullah Mozumder
Professor
Department of Mathematics
Faculty of Science
Email: sharif_math2000@yahoo.com