Optimal Hedging Monte Carlo
- Friday, March 28 from 3:00 to 4:30 in Room 552; Refreshments 2:30 in Room 502
The Optimal Hedging Monte Carlo (OHMC) method will be discussed in terms of derivative pricing and risk management. The OHMC approach is a methodology well suited for discrete time hedging problems where measures of hedge slippage and tail risk are required. The pricing of derivatives within the OHMC approach includes the allocation of risk capital, the estimation of residual risks, and the determination of optimal hedge ratios. It can be used to unravel the risk premiums associated with derivative trading in terms of hedge slippage, realistic complexity of asset returns, transaction costs, and risk-‐return characteristics.
Dr. Rupak Chatterjee, Ph.D, Industry Professor at Stevens Institute of Technology
Rupak Chatterjee, Ph.D., is an Industry Professor and Deputy Director of Financial Engineering at the Stevens Institute of Technology. Dr. Chatterjee has over fifteen years experience as a quantitative analyst working for various top-‐tier Wall Street firms. His last role before returning to academia was as Director of the Multi-‐ Asset Hybrid Derivatives Quantitative Research group at Citigroup in New York. He was also the Global Basel III coordinator for all modeling efforts needed to satisfy the new regulatory risk requirements imposed on banks. Previously, he was a quantitative analyst at Barclays Capital, a vice president at Credit Suisse, and a senior vice president at HSBC. His educational background is in theoretical physics where he studied at Stony Brook University and the University of Chicago. His research interests have included discrete time hedging problems using the Optimal Hedging Monte Carlo (OHMC) method and the design and execution of systematic trading strategies that embody the hallmarks of capital preservation and measured risk taking.