From the 2 of 5 linked papers with an AI index.
5 papers
Robust Hedging Valuation Adjustment for Deep Hedging Policies under Market Frictions
Takayuki Sakuma
Hedging a derivative position under transaction costs and market frictions requires a trading rule that adapts to changing conditions. Deep hedging trains a neural policy for this…
Environmental CVA with KL-Robust Wrong-Way Risk
Takayuki Sakuma
The paper proposes a framework for incorporating long‑term climate and biodiversity scenarios into counterparty credit risk valuation (CVA) by mapping environmental drivers to haza…
Differential Machine Learning for 0DTE Options with Stochastic Volatility and Jumps
Takayuki Sakuma
The paper introduces a differential machine learning framework that jointly learns option prices and Greeks for zero‑day‑to‑expiry options under stochastic‑volatility jump‑diffusio…
Robust Hedging Valuation Adjustment under Liquidity--Demand Stress
Takayuki Sakuma
This paper develops a robust hedging valuation adjustment (HVA) measure for dynamic hedging. Simulated rebalancing and maturity-unwind trades generate a loss distribution for each…
Diagram-to-Circuit QNLP for Financial Sentiment Analysis
Takayuki Sakuma
We study a \emph{QDisCoCirc}-inspired, chunked diagram-to-circuit quantum natural language processing (QNLP) model for three-class sentiment classification of financial texts. In o…