11 citations · 21 across the 6 of their papers we have counts for
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q-fin.MF2021★ 2 cited
Deep Learning Algorithms for Hedging with Frictions
Xiaofei Shi, Daran Xu, Zhanhao Zhang
This work studies the deep learning-based numerical algorithms for optimal hedging problems in markets with general convex transaction costs on the trading rates, focusing on their…
q-fin.MF2019
Asset Pricing with General Transaction Costs: Theory and Numerics
Lukas Gonon, Johannes Muhle-Karbe, Xiaofei Shi
We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we pro…