1 citations · 1 across the 10 of their papers we have counts for
3 papers · 1 filter
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 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…
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…