Optimal Hedging and Parameter Uncertaintly
|Date||22nd November 2006|
|Time||1:00pm - 2:00pm|
|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.