3 papers
q-fin.PM2021
WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management
Saeed Marzban, Erick Delage, Jonathan Yumeng Li +2
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with th…
q-fin.PR2021
Deep Reinforcement Learning for Equal Risk Pricing and Hedging under Dynamic Expectile Risk Measures
Saeed Marzban, Erick Delage, Jonathan Yumeng Li
Recently equal risk pricing, a framework for fair derivative pricing, was extended to consider dynamic risk measures. However, all current implementations either employ a static ri…
math.OC2020
Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures
Saeed Marzban, Erick Delage, Jonathan Yumeng Li
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level…