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Dr Mike Tehranchi

Mike Tehranchi

Title of research: Hedging Portfolios in Equity Derivatives Markets

The objective of the proposed research activity is the calculation of trading strategies for an institution trying to hedge the risk of possible losses in an illiquid derivative position. Significant for this proposal is that the hedging instruments are themselves (liquid) derivative securities. The academic goal of this proposal then is to characterise, mathematically and economically, the structure of such hedging strategies within a general modelling framework.

Research Update - Report April 2016

Research Update - Report September 2015

Research Update - Report April 2015       Paper

Research Update - Report 2014