Robin Singh

Quantitative Researcher

Nomura Holdings, Inc•  May 2019 - July 2019

• Objective: to design optimal option hedging pricing strategies while relaxing the Black-Scholes assumptions • Formulated a Reinforcement Learning(Q-Learning)based Dynamic Hedging & Option payoff replication model • Explored Optimal Control Theory for Portfolio Optimization and derived standard Delta(∆) hedging equations • Derived a novel option pricing model based on Control Theory using Dynamic Programming for optimization • Impact: Portfolios can be hedged more efficiently as the proposed strategies are a generalization to BSM models