Economics of Discrete Delta Replication of Options with Transaction Costs
|Date||19th January 2011|
|Time||1:00pm - 2:00pm|
|Venue||ICMA Centre, Room G03/04|
His current research interests are in investment management (intelligent use of personal views, optimal design of structured products and portfolio insurance, performance criteria), risk management (optimal capital allocation, banking regulations) and financial engineering (efficient option replication). From 1986 to 2002 he worked in the City of London as General Manager of Crédit Agricole Lazard Financial Products (CAL FP) Bank, a bank specializing in structured products for corporate clients, Executive Director with Mitsubishi Finance International plc (MFIL, now TMI), heading the arbitrage and Research and Product Development Group and Director at Barclays, de Zoete Wedd (BZW), heading the Equity Risk Management Unit. But his career started in academia (Dartmouth College, USA, and HEC/ISA, France) and consulting (Stanford Research Institute, Investment Intelligence Systems). He is a graduate from Ecole Centrale (Paris) and holds a DEA in Mathematical Physics (Institut Henri Poincaré, Paris) and a PhD in Decision Theory (Dartmouth College).