Hedging Barrier Options: Current Methods and Alternatives
|Date||10 October 2010|
|Venue||ICMA Centre, Room G03/04|
Dominique Dupont is currently a research fellow in the Financial Stochastics research project at Eurandom, a European research institute devoted to the study of stochastic phenomena and located on the campus of the Eindhoven University of Technology. His research focuses on hedging exotic derivatives in incomplete markets, with more specific focus on the static hedging of barrier options with regular options using a technique known as mean-square hedging. Previously Dominique worked as an Economist at the Federal Reserve Board in Washington D.C. after obtaining his Ph.D. in Economics (microstructures of financial markets) at the University of Chicago. Prior to this he trained in Business and Finance at the H.E.C. School of Management and in Economics at the Institut d?Etudes Politiques de Paris.