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Insights on Time-consistent Deep Hedging under Elicitable Dynamic Risk Measures
Shuyi Zhang, Frédéric Godin
We study deep hedging in the context of dynamics risk measures, where sequential decisions are time-consistent. Whereas the literature in such context mainly considers low-dimensio…
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…
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…
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…
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…