Katharyn BoyleEmail: katharyn Abstract on my research: Mathematics and Finance In my research, I consider hedging strategies for complex options using the underlying and more liquid options. I illustrated that the hedging problem can become ill-posed when the universe of hedging instruments include short term liquid options. I regularize the ill-posedness by cost modeling or total risk minimization. This is just one of many mathematical finance topics being explored at Cornell. If one is interested in mathematical finance, Cornell has a bevy of opportunities available to the CAM student through collaboration with but not limited to the Theory Center, Johnson School, ORIE, or Economics. |
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