12 citations · 12 across the 6 of their papers we have counts for
6 papers
Robust Hedging Valuation Adjustment for Deep Hedging Policies under Market Frictions
Takayuki Sakuma
Hedging a derivative position under transaction costs and market frictions requires a trading rule that adapts to changing conditions. Deep hedging trains a neural policy for this…
Robust Hedging Valuation Adjustment under Liquidity--Demand Stress
Takayuki Sakuma
This paper develops a robust hedging valuation adjustment (HVA) measure for dynamic hedging. Simulated rebalancing and maturity-unwind trades generate a loss distribution for each…
Environmental CVA with KL-Robust Wrong-Way Risk
Takayuki Sakuma
Although climate and nature related scenario analysis is increasingly important in finance, operational implementations remain limited for translating long horizon environmental sc…
Differential Machine Learning for 0DTE Options with Stochastic Volatility and Jumps
Takayuki Sakuma
We present a differential machine learning method for zero-days-to-expiry (0DTE) options under a stochastic-volatility jump-diffusion model. To handle the ultra-short-maturity regi…
Diagram-to-Circuit QNLP for Financial Sentiment Analysis
Takayuki Sakuma
We study a \emph{QDisCoCirc}-inspired, chunked diagram-to-circuit quantum natural language processing (QNLP) model for three-class sentiment classification of financial texts. In o…
Application of deep quantum neural networks to finance
Takayuki Sakuma
The recent development of quantum computing gives us an opportunity to explore its potential applications to many fields, with the field of finance being no exception. In this pape…