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Optimal Hedging and Parameter Uncertaintly

Michael Monoyios is a University Lecturer in Financial Mathematics at the Mathematical Institute, University of Oxford.
Event information
Date 22nd November 2006
Time 1:00pm - 2:00pm
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

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.