Speakers - Gerardo Hernández-del-Valle


Gerardo Hernández-del-Valle
Bank of Mexico

Title: Optimal liquidation of assets and valuation of derivatives

Abstract: In this work we develop an optimal liquidation strategy to sell (or buy) a large position K of a given asset S by a fixed time T. To this end, we asume that the price is modelled as a Geometric Brownian motion and thus the market impact, due to the trading strategy, affects the price process geometrically.

Alternatively, using our model we study the effect of transacting a large position B of a financial derivative with underlying S. We show, for instance, that if a Company decides to cover a large position on a given asset S (for instance Oil, Copper, currency, etc.) with a plain vanilla European put (or call) options, the price of the underlying will be affected by the trade, as well as the price of the derivative.

Bio: Dr. Hernández-del-Valle obtained his bachelor's degree in Electrical Engineering in Mexico City. He carried out his graduate studies in Statistics and Probability at Columbia University. After concluding his PhD he remained at Columbia, first as a post-doc and next as an Assistant Professor at the Statistics Department. Simultaneously he collaborated at Algorithmic Trading Management LLC (now COWEN) as a Quantitative Analyst. Since December 2013 he works at Banco de México at the Economic Studies Department. Gerardo's main fields of interest are: Stochastic Analysis, Mathematical Finance, and Economics, with published papers in Geophysics, Stochastic Analysis, Finance, Applied Math., and Economics.