10 citations · 14 across the 3 of their papers we have counts for
3 papers
Estimation and Inference for Multivariate Continuous-time Autoregressive Processes
Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart
The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate Lévy-driven continuous-time autoregressive processes of order $p\in\ma…
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
Phillip Murray, Ben Wood, Hans Buehler +2
We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-aver…
Discretization of Lévy semistationary processes with application to estimation
Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
Motivated by the construction of the Itô stochastic integral, we consider a step function method to discretize and simulate volatility modulated Lévy semistationary processes. More…