Aytac Ilhan

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

  • University of Oxford - Mathematical Institute

SCHOLARLY PAPERS

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Scholarly Papers (1)

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1.

Optimal Static-Dynamic Hedges for Exotic Options under Convex Risk Measures

Number of pages: 25 Posted: 17 Apr 2008
Aytac Ilhan, Mattias Jonsson and Ronnie Sircar
University of Oxford - Mathematical Institute, University of Michigan at Ann Arbor - Department of Mathematics and Princeton University - Department of Operations Research and Financial Engineering
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Citation 3

Abstract:

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risk measures, hedging