5 citations · 9 across the 10 of their papers we have counts for
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q-fin.CP2023★ 1 cited
Robust Hedging GANs
Yannick Limmer, Blanka Horvath
The availability of deep hedging has opened new horizons for solving hedging problems under a large variety of realistic market conditions. At the same time, any model - be it a tr…
q-fin.CP2021
Clustering Market Regimes using the Wasserstein Distance
Blanka Horvath, Zacharia Issa, Aitor Muguruza
The problem of rapid and automated detection of distinct market regimes is a topic of great interest to financial mathematicians and practitioners alike. In this paper, we outline…
q-fin.CP2021
Deep Hedging under Rough Volatility
Blanka Horvath, Josef Teichmann, Zan Zuric
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance…