Massoud Heidari

Caspian Capital Management, LLC

New York, NY 10151

United States

SCHOLARLY PAPERS

7

DOWNLOADS
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Top 8,691

in Total Papers Downloads

5,742

SSRN CITATIONS
Rank 26,429

SSRN RANKINGS

Top 26,429

in Total Papers Citations

25

CROSSREF CITATIONS

6

Scholarly Papers (7)

1.

What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities

Number of pages: 21 Posted: 03 Sep 2004
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,994 (8,217)
Citation 2

Abstract:

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Mortgage-backed securities, option-adjusted spreads, market efficiency

2.

Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives

Number of pages: 44 Posted: 08 Oct 2002
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,569 (12,072)

Abstract:

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Term structure, yield curve, interest rate caps, implied volatility, residual factors, extended Kalman Filter, quasi-maximum likelihood estimation.

3.

Predictability of Interest Rates and Interest-Rate Portfolios

Number of pages: 55 Posted: 03 Aug 2006
Turan G. Bali, Massoud Heidari and Liuren Wu
Georgetown University - Robert Emmett McDonough School of Business, Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,229 (17,671)
Citation 9

Abstract:

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Term structure, Predictability, Interest rates, Factors, Pricing errors, Expectation hypotheses

4.

Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?

Number of pages: 48 Posted: 15 Sep 2001
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 511 (59,568)
Citation 18

Abstract:

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Factors, principal component, LIBOR, swaps, swaptions, yield curve, implied volatility surface.

5.

Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates

Number of pages: 32 Posted: 03 Aug 2006
Massoud Heidari and Liuren Wu
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 370 (87,789)
Citation 3

Abstract:

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Federal Reserve, term structure, federal funds rate, market expectation, deterministic jumps, random Poisson jumps, fed fund futures

6.

Analytical Pricing of Swaption in Affine Term Structures with Stochastic Volatility

Number of pages: 20 Posted: 20 Apr 2017
Massoud Heidari, Ali Hirsa and Dilip B. Madan
Caspian Capital Management, LLC, Columbia University - Department of Industrial Engineering and Operations Research (IEOR) and University of Maryland
Downloads 36 (479,342)

Abstract:

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Affine Term Structure Models; Charateristic Function; FFT; Swaptions; Straddles

7.

Double Gamma Stochastic Volatility Model in Discrete Time

Number of pages: 21 Posted: 22 Apr 2017
Ali Hirsa, Massoud Heidari and Dilip B. Madan
Columbia University - Department of Industrial Engineering and Operations Research (IEOR), Caspian Capital Management, LLC and University of Maryland
Downloads 33 (493,379)

Abstract:

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Affine Term Structure Models; Characteristic Function; FFT; Swaptions; Gamma Process