3 papers
q-fin.ST2026
Recovering Structural Organization in Noisy Correlation Networks Using Financial Systems as a Testbed
Imran Ansari, Shashi Jain, Srikanth K. Iyer
Empirical correlation matrices estimated from financial return time series are contaminated by statistical noise arising from finite sample size, obscuring genuine interactions amo…
q-fin.MF2025
Robust Hedging of path-dependent options using a min-max algorithm
Purba Banerjee, Srikanth Iyer, Shashi Jain
We consider an investor who wants to hedge a path-dependent option with maturity using a static hedging portfolio using cash, the underlying, and vanilla put/call options on th…
q-fin.MF2025
Multi-period static hedging of European options
Purba Banerjee, Srikanth Iyer, Shashi Jain
We consider the hedging of European options when the price of the underlying asset follows a single-factor Markovian framework. By working in such a setting, Carr and Wu \cite{carr…