4 papers
Multiperiod bond portfolio optimization with transaction costs using a Markov Decision process
Balaji Ramachandran, Srikanth Iyer, Shashi Jain
Bank treasury portfolios must balance yield, liquidity, and interest-rate risk across bonds of different maturities. Static allocation rules are ill-suited to this task: portfolios…
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…
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…
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…