Aytac Ilhan, Ph.D.

Affiliations: 
2004 Princeton University, Princeton, NJ 
Area:
Operations Research, Mathematics, Finance
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Parents

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Ronnie Sircar grad student 2004 Princeton
 (Hedging exotic options in incomplete markets.)
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Publications

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Ilhan A, Jonsson M, Sircar R. (2009) Optimal static-dynamic hedges for exotic options under convex risk measures Stochastic Processes and Their Applications. 119: 3608-3632
Ilhan A, Jonsson M, Sircar R. (2008) Portfolio optimization Indifference Pricing: Theory and Applications. 183-210
Ilhan A, Sircar R. (2006) Optimal static-dynamic hedges for barrier options Mathematical Finance. 16: 359-385
Ilhan A, Jonsson M, Sircar R. (2004) Singular perturbations for boundary value problems arising from exotic options Siam Journal On Applied Mathematics. 64: 1268-1293
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