Srikanth Iyer

Indian Institute of Science

Srikanth K Iyer holds a master’s degree in Statistics from the Indian Institute of Technology Kanpur and a PhD in Probability Theory and Stochastic Processes from the University of California at Santa Barbara. He worked in the area of branching-diffusing particle systems and censored data analysis. He currently works on Random Geometric Graphs and Credit Derivative pricing models and other problems in Mathematical Finance.

Articles by Srikanth Iyer

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

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