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