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q-fin.CP2026
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…
q-fin.CP2023
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…
q-fin.CP2023★ 1 cited
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…