3 citations · 3 across the 2 of their papers we have counts for
4 papers
Fast Deep Hedging with Second-Order Optimization
Konrad Mueller, Amira Akkari, Lukas Gonon +1
Hedging exotic options in presence of market frictions is an important risk management task. Deep hedging can solve such hedging problems by training neural network policies in rea…
Quantum option pricing via the Karhunen-Loève expansion
Anupam Prakash, Yue Sun, Shouvanik Chakrabarti +8
We consider the problem of pricing discretely monitored Asian options over monitoring points where the underlying asset is modeled by a geometric Brownian motion. We provide tw…
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Phillip Murray, Ben Wood, Hans Buehler +2
We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-aver…
Multi-Asset Spot and Option Market Simulation
Magnus Wiese, Ben Wood, Alexandre Pachoud +4
We construct realistic spot and equity option market simulators for a single underlying on the basis of normalizing flows. We address the high-dimensionality of market observed cal…