60 citations · 101 across the 8 of their papers we have counts for
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q-fin.CP2022★ 2 cited
Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning
Jay Cao, Jacky Chen, Soroush Farghadani +4
We show how D4PG can be used in conjunction with quantile regression to develop a hedging strategy for a trader responsible for derivatives that arrive stochastically and depend on…
q-fin.CP2021★ 60 cited
Deep Hedging of Derivatives Using Reinforcement Learning
Jay Cao, Jacky Chen, John Hull +1
This paper shows how reinforcement learning can be used to derive optimal hedging strategies for derivatives when there are transaction costs. The paper illustrates the approach by…
q-fin.CP2021★ 3 cited
Variational Autoencoders: A Hands-Off Approach to Volatility
Maxime Bergeron, Nicholas Fung, John Hull +1
A volatility surface is an important tool for pricing and hedging derivatives. The surface shows the volatility that is implied by the market price of an option on an asset as a fu…