4 papers
Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning
Federico Cacciamani, Roberto Daluiso, Marco Pinciroli +2
In finance, sequential decision problems are often faced, for which reinforcement learning (RL) emerges as a promising tool for optimisation without the need of analytical tractabi…
Exploiting Risk-Aversion and Size-dependent fees in FX Trading with Fitted Natural Actor-Critic
Vito Alessandro Monaco, Antonio Riva, Luca Sabbioni +5
In recent years, the popularity of artificial intelligence has surged due to its widespread application in various fields. The financial sector has harnessed its advantages for mul…
CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning
Roberto Daluiso, Marco Pinciroli, Michele Trapletti +1
This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives. Sensitivities-based hedging of such liability…
Reinforcement Learning for Credit Index Option Hedging
Francesco Mandelli, Marco Pinciroli, Michele Trapletti +1
In this paper, we focus on finding the optimal hedging strategy of a credit index option using reinforcement learning. We take a practical approach, where the focus is on realism i…