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X-ORIGINAL-URL:https://events.srmap.edu.in
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TZID:Asia/Kolkata
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DTSTART:20250101T000000
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BEGIN:VEVENT
DTSTART;TZID=Asia/Kolkata:20260416T150000
DTEND;TZID=Asia/Kolkata:20260416T160000
DTSTAMP:20260416T013240
CREATED:20260410T100118Z
LAST-MODIFIED:20260410T100118Z
UID:145663-1776351600-1776355200@events.srmap.edu.in
SUMMARY:Financial Engineering Guest Talk Series
DESCRIPTION:Paari School of Business (PSB) is hosting an engaging and intellectually enriching guest talk on an advanced topic in financial engineering. This session\, titled “Robust Static Hedging of Path-Dependent Options using Martingale Optimal Transport\,” will provide a comprehensive overview of modern approaches to pricing and hedging complex financial derivatives. The talk will delve into how robust\, model-independent strategies can be developed using the Martingale Optimal Transport (MOT) framework\, offering a powerful alternative to traditional assumptions in financial modeling. \nParticipants will gain insights into\, the challenges of hedging path-dependent options\, the role of martingale constraints in financial optimisation\, Constructing effective hedging strategies under uncertainty and theoretical foundations and real-world implications in quantitative finance \nSpeaker: Ms Purba Banerjee\, Department of Mathematics\, IISc Bangalore \nThis talk is particularly beneficial for students and enthusiasts of finance\, mathematics\, data science\, and anyone interested in the evolving landscape of quantitative and computational finance. \nJoin us for an opportunity to deepen your understanding of financial risk management and explore cutting-edge research in the field.
URL:https://events.srmap.edu.in/event/financial-engineering-guest-talk-series/
LOCATION:Tiered Classroom\, 5th Floor\, Admin Block
CATEGORIES:Departmental Events,Events,Homepage Events
ATTACH;FMTTYPE=image/png:https://events.srmap.edu.in/wp-content/uploads/2026/04/financial-engineering-guest-talk-series-2.png
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DTSTART;TZID=Asia/Kolkata:20260416T150000
DTEND;TZID=Asia/Kolkata:20260416T160000
DTSTAMP:20260416T013240
CREATED:20260413T083620Z
LAST-MODIFIED:20260413T083620Z
UID:145671-1776351600-1776355200@events.srmap.edu.in
SUMMARY:Guest Talk on of Robust Static Hedging of Path-Dependent Options
DESCRIPTION: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. \nAbstract  \nThe 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. \nAbout the Speaker \nMs 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. \nPrior 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. \nToday\, 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.
URL:https://events.srmap.edu.in/event/guest-talk-on-of-robust-static-hedging-of-path-dependent-options/
LOCATION:Tiered Classroom\, 5th Floor\, Admin Block
CATEGORIES:Departmental Events,Events,Homepage Events,Management Events
ATTACH;FMTTYPE=image/png:https://events.srmap.edu.in/wp-content/uploads/2026/04/PSB-Talk.png
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