4 papers
Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning
Federico Cacciamani, Roberto Daluiso, Marco Pinciroli +2
In finance, sequential decision problems are often faced, for which reinforcement learning (RL) emerges as a promising tool for optimisation without the need of analytical tractabi…
Optimal strategy and deep hedging for share repurchase programs
Stefano Corti, Roberto Daluiso, Andrea Pallavicini
In recent decades, companies have frequently adopted share repurchase programs to return capital to shareholders or for other strategic purposes, instructing investment banks to ra…
CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning
Roberto Daluiso, Marco Pinciroli, Michele Trapletti +1
This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives. Sensitivities-based hedging of such liability…
Fast and Stable Credit Gamma of CVA
Roberto Daluiso
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, whi…