Malkhaz Shashiashvili: Discrete Time Hedging of the American Option
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Malkhaz Shashiashvili, professor of Ivane Javakhishvili Tbilisi State University (TSU) visited ISET on Thursday, September 17th to present his recent paper "Discrete Time Hedging of the American Option" co-authored with S. Hussain, professor of Government College University. Since his talk contained very complicated mathematical methods, Prof. Shashiashvili started the presentation with giving definitions and key words, in order to make it accessible for a general audience.
In contrast to widespread opinion –the best hedging options require the option’s writer to trade continuously in time. Prof. Shashiashvili claimed that it is possible to construct the perfect portfolio for a discrete amount of time. The perfect hedging requires the knowledge of the partial derivative of the value function of the American option in the underlying asset, which is not explicitly known in most cases of practical importance.
Session at Eastern Partnership Youth Camp
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On Tuesday, September 15th, Levan Pavlenishvili, research associate of Energy & Environment Research Center, visited Eastern Partnership Youth Camp in Kvareli. Levan lead a session on the Market Economy. He conducted a Competitive Bazaar simulation with camp participants to give them a sense of how the market works. As this simulation requires, Levan divided participants into two groups of buyers and sellers. The main goal of sellers was to sell an imaginary Khachapuri at the highest price possible, while the buyers aimed at buying it at the lowest price possible. They were required to trade with each other in order to find an equilibrium price level. Afterwards Levan facilitated a discussion about economic potential of eastern partnership countries and how they can benefit from economic integration with European Union.
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