Concepedia

Iraj Kani

IK

6

Publications

821

Citations

6

H-Index

1995

Active since

Affiliations

Goldman Sachs (United States)(Current)

Iraj Kani is an author at Goldman Sachs (United States) specializing in option pricing, engineering, and fault tolerance.

Top concepts

Option PricingEngineeringFinanceBusinessAsset PricingFault ToleranceFinancial EconomicsVolatility ModelingMultivariate Stochastic VolatilityStatistics

Publications per year

1995–2000

6

Publications

6

Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility

Emanuel Derman, Iraj Kani · International Journal of Theoretical and Applied Finance · 1998 · 267 citations

Volatility Modeling, Engineering, Arbitrage Pricing +18

Static Options Replication

Emanuel Derman, Deniz Ergener, Iraj Kani · The Journal of Derivatives · 1995 · 203 citations

Static Options Replication, Option Pricing, Data Consistency +5

Implied Trinomial Tress of the Volatility Smile

Emanuel Derman, Iraj Kani, Neil Chriss · The Journal of Derivatives · 1996 · 144 citations

Analytic Number Theory, Volatility Smile, Theta Function

The Local Volatility Surface: Unlocking the Information in Index Option Prices

Emanuel Derman, Iraj Kani, Joseph Z. Zou · Financial Analysts Journal · 1996 · 136 citations

Volatility Modeling, Multivariate Stochastic Volatility, Option Pricing +12

Enhanced Numerical Methods for Options with Barriers

Emanuel Derman, Iraj Kani, Deniz Ergener et al. · Financial Analysts Journal · 1995 · 61 citations

Numerical Analysis, Mathematical Programming, Option Pricing +12

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