6 citations · 14 across the 6 of their papers we have counts for
4 papers · 1 filter
Risk averse non-stationary multi-armed bandits
Leo Benac, Frédéric Godin
This paper tackles the risk averse multi-armed bandits problem when incurred losses are non-stationary. The conditional value-at-risk (CVaR) is used as the objective function. Two…
Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
Alexandre Carbonneau, Frédéric Godin
The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated. The ability to move b…
Bias-Corrected Peaks-Over-Threshold Estimation of the CVaR
Dylan Troop, Frédéric Godin, Jia Yuan Yu
The conditional value-at-risk (CVaR) is a useful risk measure in fields such as machine learning, finance, insurance, energy, etc. When measuring very extreme risk, the commonly us…
Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments
Alexandre Carbonneau, Frédéric Godin
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives. This option pricing approach is consistent with global trading strate…