9 citations · 10 across the 6 of their papers we have counts for
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q-fin.RM2022★ 1 cited
Deep Generators on Commodity Markets; application to Deep Hedging
Nicolas Boursin, Carl Remlinger, Joseph Mikael +1
Driven by the good results obtained in computer vision, deep generative methods for time series have been the subject of particular attention in recent years, particularly from the…
q-fin.RM2019★ 9 cited
Risk management with machine-learning-based algorithms
Simon Fécamp, Joseph Mikael, Xavier Warin
We propose some machine-learning-based algorithms to solve hedging problems in incomplete markets. Sources of incompleteness cover illiquidity, untradable risk factors, discrete he…