4 citations · 18 across the 13 of their papers we have counts for
3 papers · 1 filter
Pricing and hedging of decentralised lending contracts
Lukasz Szpruch, Marc Sabaté Vidales, Tanut Treetanthiploet +1
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transac…
-Policy Gradient for Online Pricing
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
Combining model-based and model-free reinforcement learning approaches, this paper proposes and analyzes an -policy gradient algorithm for the online pricing learning task. The…
Mirror Descent for Stochastic Control Problems with Measure-valued Controls
Bekzhan Kerimkulov, David Šiška, Łukasz Szpruch +1
This paper studies the convergence of the mirror descent algorithm for finite horizon stochastic control problems with measure-valued control processes. The control objective invol…