3 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…
cs.LG2026
Generating Financial Time Series by Matching Random Convolutional Features
Konrad J. Mueller, Nikita Zozoulenko, Ben Wood +2
Generating realistic financial time series is challenging as training data is often limited to a single historical path. With such scarce data, overfitting is hard to avoid, especi…
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…