2 papers
q-fin.RM2025
Learning to Hedge Swaptions
Zaniar Ahmadi, Frédéric Godin
This paper investigates the deep hedging framework, based on reinforcement learning (RL), for the dynamic hedging of swaptions, contrasting its performance with traditional sensiti…
math.PR2025
A note on Refracted Skew Brownian Motion with an application
Zaniar Ahmadi, Xiaowen Zhou
For refracted skew Brownian motion (skew Brownian motion with two-valued drift), adopting a perturbation approach we find expressions of its potential densities. As applications, w…