> Newton Mobility Grant Awarded
Daniel Hernandez-Hernandez (CIMAT) and Alexander Cox (Bath) have been awarded £8,200 to work on the project "Robust optimal hedging with model-independent constraints”. The project involves using a mix of ideas from Stochastic Optimal Control, and Model-independent finance to try and understand how financial institutions might better hedge complex risks while taking into account the intrinsic difficulty in choosing a `correct’ model for financial returns. In the long run, the project hopes to help bring about more resilient financial institutions. The money from the Newton fund, combined with a further £2,000 from the University of Bath International Research Funding Scheme, will enable 5 visits over a two year period. It is expected that some of these visits will also include stays at UNAM and a BUC workshop on Stochastic Optimal Control.