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Sharif Mozumder

University of Dhaka - Department of Mathematics

SCHOLARLY PAPERS

3

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176

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Scholarly Papers (3)

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1.

Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing

Review of Quantitative Finance and Accounting 62, 97-133. DOI: https://doi.org/10.1007/s11156-023-01195-8
Number of pages: 37 Posted: 07 Feb 2025
Sharif Mozumder, Bakhtear Talukdar, M. Humayun Kabir and Bingxin Li
University of Dhaka - Department of Mathematics, University of Wisconsin - Whitewater, School of Economics & Finance, Massey University and West Virginia University - Department of Finance
Downloads 77 (830,555)

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Lévy innovations, Stochastic volatility, GARCH, Calibration, NIG JEL Classification G12, G13

2.

The Value of Free Lunch: Comparative Evidence from Emerging and Developed Market Banking Sectors

Number of pages: 41 Posted: 13 Jan 2026
Sharif Mozumder, M. Humayun Kabir and Bakhtear Talukdar
University of Dhaka - Department of Mathematics, School of Economics & Finance, Massey University and University of Wisconsin - Whitewater
Downloads 52 (1,052,702)

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Value-at-Risk, expected shortfall, MRS-GARCH, backtest, COVID-19

3.

The Laplace Innovation for RiskMetricsTM:  Evidence from Extensive Value-at-Risk and Expected Shortfall Backtests for Banks

Number of pages: 58 Posted: 18 Feb 2026
Sharif Mozumder, Raad Mozib Lalon, Bakhtear Talukdar and Ali Parhizgari
University of Dhaka - Department of Mathematics, Department of Banking, University of Dhaka, University of Wisconsin - Whitewater and Florida International University
Downloads 47 (1,109,210)

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RM-Laplace, Risk-Metrics, Backtests, Expected Shortfall