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20202023
most citedDeep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions

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math.ST2020

Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes

Phillip Murray, Riccardo Passeggeri, Almut E. D. Veraart +1

This article studies the finite sample behaviour of a number of estimators for the integrated power volatility process of a Brownian semistationary process in the non semi-martinga…