3 papers
math.PR2026
Gamma Hedging without Rough Paths
John Armstrong, Purba Das
We show how the robustness of gamma hedging can be understood without using rough-path theory. Instead, we use the concepts of variation along a partition sequence and Tay…
nlin.SI2024
Abundant Superintegrable Systems and Hessian Structures
John Armstrong, Andreas Vollmer
We show that a large class of non-degenerate second-order (maximally) superintegrable systems gives rise to Hessian structures, which admit natural (Hessian) coordinates adapted to…
q-fin.CP2024
Deep Gamma Hedging
John Armstrong, George Tatlow
We train neural networks to learn optimal replication strategies for an option when two replicating instruments are available, namely the underlying and a hedging option. If the pr…