4 papers
Learning to Hedge Swaptions
Zaniar Ahmadi, Frédéric Godin
This paper investigates the deep hedging framework, based on reinforcement learning (RL), for the dynamic hedging of swaptions, contrasting its performance with traditional sensiti…
Deep Reinforcement Learning Algorithms for Option Hedging
Andrei Neagu, Frédéric Godin, Leila Kosseim
Dynamic hedging is a financial strategy that consists in periodically transacting one or multiple financial assets to offset the risk associated with a correlated liability. Deep R…
Deep Hedging with Options Using the Implied Volatility Surface
Pascal François, Geneviève Gauthier, Frédéric Godin +1
We propose a deep hedging framework for index option portfolios, grounded in a realistic market simulator that captures the joint dynamics of S&P 500 returns and the full implied v…
Survival Multiarmed Bandits with Bootstrapping Methods
Peter Veroutis, Frédéric Godin
The Multiarmed Bandits (MAB) problem has been extensively studied and has seen many practical applications in a variety of fields. The Survival Multiarmed Bandits (S-MAB) open prob…