4 papers
Stress Amplified Resilience: ESG and Joint Fragility in Equity Markets
Minxuan Hu, Jiayu Yi, Ziheng Chen +2
Market stress rarely harms investors through one channel alone. Losses, volatility spikes, and deteriorating tradability often arrive together. We examine whether ESG is associated…
ESG as Priced Crash Insurance: State-Dependent Tail Risk and Deconfounding Evidence
Jiayu Yi, Minxuan Hu, Wenxi Sun +1
This research establishes ESG as a state dependent insurance mechanism against equity crashes by addressing the decoupling of unconditional alpha from tail risk resilience. By vali…
Autonomous AI Agents for Option Hedging: Enhancing Financial Stability through Shortfall Aware Reinforcement Learning
Minxuan Hu, Ziheng Chen, Jiayu Yi +1
The deployment of autonomous AI agents in derivatives markets has widened a practical gap between static model calibration and realized hedging outcomes. We introduce two reinforce…
Reinforcement Learning for Option Hedging: Static Implied-Volatility Fit versus Shortfall-Aware Performance
Ziheng Chen, Minxuan Hu, Jiayu Yi +1
We extend the Q-learner in Black-Scholes (QLBS) framework by incorporating risk aversion and trading costs, and propose a novel Replication Learning of Option Pricing (RLOP) approa…