3 papers
cs.CE2024
Hedging and Pricing Structured Products Featuring Multiple Underlying Assets
Anil Sharma, Freeman Chen, Jaesun Noh +2
Hedging a portfolio containing autocallable notes presents unique challenges due to the complex risk profile of these financial instruments. In addition to hedging, pricing these n…
cs.CE2024
Hedging Beyond the Mean: A Distributional Reinforcement Learning Perspective for Hedging Portfolios with Structured Products
Anil Sharma, Freeman Chen, Jaesun Noh +2
Research in quantitative finance has demonstrated that reinforcement learning (RL) methods have delivered promising outcomes in the context of hedging financial portfolios. For exa…
q-fin.RM2024
Hedging American Put Options with Deep Reinforcement Learning
Reilly Pickard, Finn Wredenhagen, Julio DeJesus +2
This article leverages deep reinforcement learning (DRL) to hedge American put options, utilizing the deep deterministic policy gradient (DDPG) method. The agents are first trained…