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Prof.

Mete Soner

SFI Head of Zurich


SFI Senior Chair since January 2010
ETH Zurich

Mete.Soner@sfi-research.ch
+41 44 632 27 55

Mete Soner has held an SFI Senior Chair at ETH Zurich since 2010. Prof. Soner has published extensively in his areas of expertise and is a regular speaker at leading academic conferences worldwide.

Research Interests

His primary research interest lies in mathematical finance and stochastic optimal control. In particular, models for illiquid markets, analysis of markets with transaction costs, robust techniques and applications of optimal control in corporate finance.

Recent Research

In recent research, Prof. Soner and his co-authors study the hedging strategies in an illiquid binomial market. They contribute to research by proving the existence of an optimal feedback strategy for both European and barrier options and compute this strategy by means of a dynamic programming principle. The optimal strategy is neither the discrete-delta strategy nor the strategy that minimizes the value function; the optimal feed-back strategy shows less variability than the discrete-delta strategy or the strategy consisting of minimizers of the value function due to the effect of liquidity.



Events

18.02.2016
Lunch and Learn @ SFI

24.02.2016
SFI Evening Seminar with Prof. Darrell Duffie, Geneva
Topic: Stresses and Strains on China's Financial System

02.03.2016
SFI Evening Seminar with Prof. Paul Embrechts
Topic: Risk Management: Then, Now, and Tomorrow

More events


Press releases


19.01.2016
Asset Management Study Switzerland by zeb und SFI. Asset Management in Switzerland faces huge challenges.

12.11.2015
Swiss Finance Institute has attributed its Outstanding Paper Award to “The Impact of Treasury Supply on Financial Sector Lending and Stability”, a research paper by Arvind Krishnamurthy of Stanford University and Annette Vissing-Jorgensen of the University of California Berkeley that studies how government debt crowds out financial sector short-term debt.
Press Release


19.06.2015
Swiss Finance Institute publishes the first comprehensive Swiss study on structured products. The most recent SFI White Paper sheds light on the performance, costs, and investments of structured products.
English version, German version, French version, Italian version

More press releases...


SFI in the news

L'Agefi: Le décloisonnement des compétences
Article referring to the 10th Annual Meeting of SFI (13.11.2015)

L'Agefi: SFI Prof. Philipp Krüger remporte le Moskowitz (10.11.2015)

L'Agefi: Le sens des buyouts secondaires
Article on SFI Prof. Francois Degeorge's Practitioner Roundup on Secondary Buyouts (Sep 2015)


Finanz und Wirtschaft: Bewusster anlegen mit Evolutionary Finance
Article by SFI Professor Thorsten Hens (25.07.2015)


Finanz und Wirtschaft: Barriere-Zertifikate langfristig oder punktuell
Article referring to the SFI White Paper—Structured Products: Performance, Costs, and Investments (18.07.2015)


SRF: Radio program on the impact of the Greek crisis on the banks
Including interview with SFI Senior Chair Harald Hau (16.07.2015)





More press coverage...


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