3 papers
cs.LG2026
Deep catastrophic-risk-aware reinforcement learning
Carlos Pérez Octavio Mendoza, Frédéric Godin
Estimating extreme risk in reinforcement learning becomes increasingly difficult as the confidence level increases, since only a small number of observations contribute to empirica…
q-fin.RM2024
Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information
Pascal François, Geneviève Gauthier, Frédéric Godin +1
We present a dynamic hedging scheme for S&P 500 options, where rebalancing decisions are enhanced by integrating information about the implied volatility surface dynamics. The opti…
q-fin.CP2024
Is the difference between deep hedging and delta hedging a statistical arbitrage?
Pascal François, Geneviève Gauthier, Frédéric Godin +1
The recent work of Horikawa and Nakagawa (2024) claims that under a complete market admitting statistical arbitrage, the difference between the hedging position provided by deep he…