4 papers
Deep kernel hedging
Jean-Loup Dupret, Donatien Hainaut, Edouard Motte
We introduce a deep kernel hedging framework that combines the flexibility of deep learning with the structural inductive bias of kernel methods. The hedging functional is restrict…
Signature approach for pricing and hedging path-dependent options with frictions
Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte
We introduce a novel signature approach for pricing and hedging path-dependent options with instantaneous and permanent market impact under a mean-quadratic variation criterion. Le…
Deep Learning for Continuous-Time Stochastic Control with Jumps
Patrick Cheridito, Jean-Loup Dupret, Donatien Hainaut
In this paper, we introduce a model-based deep-learning approach to solve finite-horizon continuous-time stochastic control problems with jumps. We iteratively train two neural net…
The Volterra Stein-Stein model with stochastic interest rates
Eduardo Abi Jaber, Donatien Hainaut, Edouard Motte
We introduce the Volterra Stein-Stein model with stochastic interest rates, where both volatility and interest rates are driven by correlated Gaussian Volterra processes. This fram…