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03/29/2023
Quantum Deep Hedging
Quantum machine learning has the potential for a transformative impact a...
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07/15/2022
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
We present a method for finding optimal hedging policies for arbitrary i...
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12/13/2021
Multi-Asset Spot and Option Market Simulation
We construct realistic spot and equity option market simulators for a si...
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11/15/2021
Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures
We present a numerically efficient approach for learning minimal equival...
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03/22/2021
Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
We present a numerically efficient approach for learning a risk-neutral ...
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11/05/2019