Optimal Hedging and Parameter Uncertaintly
|Date||22 November 2006|
|Time||13:00-14:00 (Timezone: Europe/London)|
|Venue||ICMA Centre, Room G03/04|
His research interests include: optimal hedging in incomplete markets, transaction costs and singular control, model uncertainty, and information problems. Monoyios obtained a PhD in Theoretical Physics from Imperial College, and was then a Royal Society Research Fellow at the Niels Bohr Institute in Copenhagen. He was then a trader of interest rate derivatives from 1990 to 1993 before returning to academia in Financial Mathematics.