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q-fin.PR2021
Large and moderate deviations for importance sampling in the Heston model
Marc Geha, Antoine Jacquier, Zan Zuric
We provide a detailed importance sampling analysis for variance reduction in stochastic volatility models. The optimal change of measure is obtained using a variety of results from…
q-fin.CP2021
Deep Hedging under Rough Volatility
Blanka Horvath, Josef Teichmann, Zan Zuric
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance…