4 citations · 7 across the 4 of their papers we have counts for
4 papers
Pricing and hedging of decentralised lending contracts
Lukasz Szpruch, Marc Sabaté Vidales, Tanut Treetanthiploet +1
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transac…
An Offline Learning Approach to Propagator Models
Eyal Neuman, Wolfgang Stockinger, Yufei Zhang
We consider an offline learning problem for an agent who first estimates an unknown price impact kernel from a static dataset, and then designs strategies to liquidate a risky asse…
Insurance pricing on price comparison websites via reinforcement learning
Tanut Treetanthiploet, Yufei Zhang, Lukasz Szpruch +4
The emergence of price comparison websites (PCWs) has presented insurers with unique challenges in formulating effective pricing strategies. Operating on PCWs requires insurers to…
Exploration-exploitation trade-off for continuous-time episodic reinforcement learning with linear-convex models
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
We develop a probabilistic framework for analysing model-based reinforcement learning in the episodic setting. We then apply it to study finite-time horizon stochastic control prob…