ISyE Seminar Series - Erhan Bayraktar

Event Details
  • Date/Time:
    • Wednesday September 16, 2015
      3:00 pm - 4:00 pm
  • Location: Groseclose 402
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  • Fee(s):
    N/A
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Summaries

Summary Sentence: ISyE Seminar Series - Erhan Bayraktar

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TITLE:  On Hedging American Options (or hedging with them) under Model Uncertainty

ABSTRACT:

We consider as given a discrete time financial market with a risky asset and options written on that asset, and we determine both the sub- and superhedging prices of an American option in the model independent framework. We do this first when some (path dependent) European options are available for static hedging. We then analyze what happens when some American options are added to the mix of options that are available for hedging.

 Bio:

 Erhan Bayraktar is a full professor of Mathematics at the University of Michigan, where he has been since 2004. He is the holder of the Susan M. Smith Chair since 2010 and also is the co-director of the Quantitative Finance and Risk Management Masters Program. Professor Bayraktar’s research is in stochastic analysis, control, applied probability and mathematical finance. He has over 90 publications in prestigious journals in these areas. He is in the editorial boards of Mathematics of Operations Research, Mathematical Finance and the SIAM Journal on Control and Optimization. His research has been continually funded by the National Science Foundation. In particular, he received a CAREER grant in 2010. He received the inaugural junior scientist prize of the SIAM Activity Group on Financial Mathematics and Engineering in 2010.

 Professor Bayraktar received his Bachelor’s degree (a double major in Electrical Engineering and Mathematics) from Middle East Technical University in Ankara in 2000. He received his Ph.D. degree from Princeton in 2004.

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

Invited Audience
Undergraduate students, Faculty/Staff, Graduate students
Categories
Seminar/Lecture/Colloquium
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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Aug 17, 2015 - 11:48am
  • Last Updated: Apr 13, 2017 - 5:18pm