267 citations · 281 across the 8 of their papers we have counts for
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q-fin.CP2022★ 3 cited
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Phillip Murray, Ben Wood, Hans Buehler +2
We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-aver…
q-fin.CP2022
Risk-Neutral Market Simulation
Magnus Wiese, Phillip Murray
We develop a risk-neutral spot and equity option market simulator for a single underlying, under which the joint market process is a martingale. We leverage an efficient low-dimens…