SFI Senior Chair since January 2010
+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.
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.
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.