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q-fin.CP2022
Deep Quadratic Hedging
Alessandro Gnoatto, Silvia Lavagnini, Athena Picarelli
We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from t…
math.PR2022
A deep solver for BSDEs with jumps
Kristoffer Andersson, Alessandro Gnoatto, Marco Patacca +1
The aim of this work is to propose an extension of the deep solver by Han, Jentzen, E (2018) to the case of forward backward stochastic differential equations (FBSDEs) with jumps.…