Dr. Sharif Ullah Mozumder
My Social Links

Dr. Sharif Ullah Mozumder

Professor
University of Dhaka, Bangladesh

Highest Degree
Ph.D. in Business and Management from University of Nottingham, UK

Share this Profile

Area of Interest:

Business Management and Accounting
100%
Mathematical Analysis
62%
Finance Management
90%
Business Communication
75%
Business Economic
55%

Research Publications in Numbers

Books
0
Chapters
0
Articles
0
Abstracts
0

Selected Publications

  1. Mozumder, S., T. Chowdhury and M. Dempsey, 2018. Spectral measures of risk for international futures markets: A comparison of extreme value and Levy models. Global Finance J., (In Press). 10.1016/j.gfj.2018.07.001.
    CrossRef  |  Direct Link  |  
  2. Mozumder, S., M. Dempsey and M.H. Kabir, 2017. Back-testing extreme value and Levy value-at-risk models: Evidence from international futures markets. J. Risk Finance, 18: 88-118.
    CrossRef  |  Direct Link  |  
  3. Mozumder, S., H. Kabir and M. Dempsey, 2017. Do coherent risk measures identify assets risk profiles similarly? Evidence from international futures markets. Invest. Manage. Financial Innov., 14: 361-380.
    Direct Link  |  
  4. Mozumder, S., M. Dempsey, M.H. Kabir and T. Choudhry, 2016. An improved framework for approximating option prices with application to option portfolio hedging. Econ. Model., 59: 285-296.
    CrossRef  |  Direct Link  |  
  5. Mozumder, S. and A. Rahman, 2016. Market risk of investment in us subprime crisis: Comparison of a pure diffusion and a pure jump model. Ann. Financial Econ., Vol. 11. 10.1142/S2010495216500135.
    CrossRef  |  Direct Link  |  
  6. Mozumder, S., M. Anwar and A. Rahman, 2015. Alternative approximations to Cobb-Douglas production function: A revisit. Int. J. Sci. Applied Res., 2: 5-17.
  7. Mozumder, S., G. Sorwar and K. Dowd, 2015. Revisiting variance gamma pricing: An application to S&P500 index options. Int. J. Financial Eng., Vol. 2. 10.1142/S242478631550022X.
    CrossRef  |  Direct Link  |  
  8. Mozumder, S., A.S. Hossain, S. Tasnim and A. Rahman, 2015. Numerical schemes and Monte Carlo method for black and scholes partial differential equation: A comparative note. Universal J. Comput. Math., 3: 50-55.
    CrossRef  |  Direct Link  |  
  9. Mozumder, S., A. Rahman and S. Tasnim, 2015. Risk measures for risk-less investments: A verification. Int. J. Sci. Applied Res., 2: 11-15.
    Direct Link  |  
  10. Hossain, A.B.M., R. Bari and S. Mozumder, 2015. A numerical study of an application of the multi-parameter local bifurcation theory. Int. J. Sci. Applied Res., 2: 30-34.
  11. Mozumder, S., G. Sorwar and K. Dowd, 2013. Option pricing under non-normality: A comparative analysis. Rev. Quant. Finance Account., 40: 273-292.
    CrossRef  |  Direct Link  |  
  12. Hossain, A.B.M.S. and S. Mozumder, 2013. On determinants and sensitivities of option prices in delayed Black-Scholes model. Int. J. Social Sci., 11: 37-45.
    Direct Link  |  
  13. Sorwar, G. and S. Mozumder, 2010. Implied bond and derivative prices based on non-linear stochastic interest rate models. Applied Math., 1: 37-43.
    CrossRef  |  Direct Link  |  
  14. Paul, S., S. Ahmed Ullah and S.U. Mozumder, 2010. On Binomial Asset Pricing Model: With Convergence to Black-Scholes Model and Sigma Algebra. LAP LAMBERT Academic Publishing, Germany, ISBN-13: 978-3838383910, Pages: 72.
  15. Ullah, S.A., S. Paul and S. Mozumder, 2009. On information carriage through sigma-algebra in binomial asset pricing model. J. Stat. Stud., 28: 1-8.
  16. Mozumder, M.S.U., 2009. Some derivations on levy and jump processes. GANIT: J. Bangladesh Math. Soc., 29: 11-22.
    CrossRef  |  Direct Link  |  
  17. Mozumder, M. and J. Garrido, 2007. On the relation between the Levy measure and the jump function of a Levy process. Annales Mathematiques du Quebec, 32: 29-34.