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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

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CERF Scholarship competition 2021 - Now Open

Nov 18, 2020

For the seventh year, Cambridge Endowment for Research in Finance is offering a scholarship scheme. Applications are invited for doctoral funding starting in October 2021. Funding is for up to 3 years and includes university and college fees and an allowance for accommodation and living expenses.

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