1 citations · 1 across the 10 of their papers we have counts for
11 papers
Deep catastrophic-risk-aware reinforcement learning
Carlos Octavio Pérez Mendoza, Carlos Pérez Octavio Mendoza, Frédéric Godin
Estimating extreme risk in reinforcement learning becomes increasingly difficult as the confidence level increases, since only a small number of observations contribute to empirica…
Insights on Time-consistent Deep Hedging under Elicitable Dynamic Risk Measures
Shuyi Zhang, Frédéric Godin
We study deep hedging where the objective is expressed in terms of a dynamic risk measure, under which sequential decisions are time-consistent. We tackle the problem of basket opt…
Is Deep Hedging Reinforcement Learning?
Frédéric Godin
The deep hedging framework of Buehler et al. (2019) trains a neural network policy, via Monte Carlo simulation of price paths and stochastic gradient descent, to minimize a risk me…
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…
Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information
Pascal François, Geneviève Gauthier, Frédéric Godin +1
We present a dynamic hedging scheme for S&P 500 options, where rebalancing decisions are enhanced by integrating information about the implied volatility surface dynamics. The opti…
Is the difference between deep hedging and delta hedging a statistical arbitrage?
Pascal François, Geneviève Gauthier, Frédéric Godin +1
The recent work of Horikawa and Nakagawa (2024) claims that under a complete market admitting statistical arbitrage, the difference between the hedging position provided by deep he…
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients
Parisa Davar, Frédéric Godin, Jose Garrido
This paper tackles the problem of mitigating catastrophic risk (which is risk with very low frequency but very high severity) in the context of a sequential decision making process…
Deep Hedging with Market Impact
Andrei Neagu, Frédéric Godin, Clarence Simard +1
Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability. Dynamic hedging optimization can be fra…