Paari School of Business is organising a Guest Talk on “Robust Static Hedging of Path-Dependent Options using Martingale Optimal Transport” on April 16, 2026. The talk will be delivered by Ms Purba Banerjee, Ph.D. Scholar at the Department of Mathematics, IISc Bangalore.
Abstract
The talk will present an overview of robust static hedging approaches for path-dependent options using the framework of Martingale Optimal Transport (MOT). It will discuss how model-independent pricing and hedging can be formulated as optimization problems under martingale constraints. The session will highlight key ideas behind constructing hedging strategies that remain effective under uncertainty in the underlying asset dynamics, along with insights into theoretical foundations and practical implications in mathematical finance.
About the Speaker
Ms Purba Banerjee is a Ph.D. student in the Department of Mathematics at IISc, Bangalore under the supervision of Prof. Srikanth Iyer and Prof. Shashi Jain. Her area of research is mathematical finance with a focus on option pricing, hedging and risk optimization.
Prior to this she has done her MS in Mathematics at the Department of Mathematics, IISc as a part of the integrated Ph.D. program and her undergraduate in Mathematics honours at St. Xaviers College, Kolkata.
Today, she will present the final work of her PhD titled “Robust static hedging of path dependent options using Martingale Optimal Transport”. This is a joint work with her supervisors and is also a runner up for the BlackRock Applied Research Award 2026.