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…
General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework
Jean-Loup Dupret, Edouard Motte
In life insurance, life tables provide survival probabilities at integer ages but leave the distribution of deaths within each year unspecified. This incompleteness is particularly…
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…
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…