5 citations · 9 across the 10 of their papers we have counts for
3 papers · 1 filter
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…
Hedging under rough volatility
Masaaki Fukasawa, Blanka Horvath, Peter Tankov
In this chapter we first briefly review the existing approaches to hedging in rough volatility models. Next, we present a simple but general result which shows that in a one-factor…
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…