Purba Banerjee

Indian Institute of Science

Purba Banerjee is a PhD student in the Department of Mathematics, Indian Institute of Science (IISc), Bangalore, India. Prior to this, she has completed her MS in Mathematics from the Department of Mathematics, IISc and her BSc in Mathematics Honours from the Department of Mathematics, St. Xavier’s College, Kolkata. Her research focuses on Option Pricing, Hedging and Risk Optimization.

Articles by Purba Banerjee

Original research

Multiperiod static hedging of European options

The authors extend the approach of Carr and Wu (2014) to cover options over multiple short maturities and demonstrate a practical application of their proposed method.

25 Nov 2024