60 citations · 62 across the 2 of their papers we have counts for
2 papers
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…