13 citations · 20 across the 4 of their papers we have counts for
5 papers
Deep Hedging Under Non-Convexity: Limitations and a Case for AlphaZero
Matteo Maggiolo, Giuseppe Nuti, Miroslav Štrupl +1
This paper examines replication portfolio construction in incomplete markets - a key problem in financial engineering with applications in pricing, hedging, balance sheet managemen…
Hedging using reinforcement learning: Contextual -Armed Bandit versus -learning
Loris Cannelli, Giuseppe Nuti, Marzio Sala +1
The construction of replication strategies for contingent claims in the presence of risk and market friction is a key problem of financial engineering. In real markets, continuous…
Adaptive Bayesian Reticulum
Giuseppe Nuti, Lluís Antoni Jiménez Rugama, Kaspar Thommen
Neural Networks and Decision Trees: two popular techniques for supervised learning that are seemingly disconnected in their formulation and optimization method, have recently been…
A Bayesian Decision Tree Algorithm
Giuseppe Nuti, Lluís Antoni Jiménez Rugama, Andreea-Ingrid Cross
Bayesian Decision Trees are known for their probabilistic interpretability. However, their construction can sometimes be costly. In this article we present a general Bayesian Decis…
An Efficient Algorithm for Bayesian Nearest Neighbours
Giuseppe Nuti
K-Nearest Neighbours (k-NN) is a popular classification and regression algorithm, yet one of its main limitations is the difficulty in choosing the number of neighbours. We present…