2 papers
cs.LG2026
Robust Control under Stationary Ambiguity
Konrad J. Mueller, Amira Akkari, Ben Wood +1
Control policies optimized in simulation can perform poorly in the real system when the parameters of the simulator are estimated from limited data but the resulting parameter…
q-fin.RM2024
Fast Deep Hedging with Second-Order Optimization
Konrad Mueller, Amira Akkari, Lukas Gonon +1
Hedging exotic options in presence of market frictions is an important risk management task. Deep hedging can solve such hedging problems by training neural network policies in rea…