research
∙
03/29/2023
Quantum Deep Hedging
Quantum machine learning has the potential for a transformative impact a...
share
research
∙
07/15/2022
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
We present a method for finding optimal hedging policies for arbitrary i...
research
∙
12/13/2021
Multi-Asset Spot and Option Market Simulation
We construct realistic spot and equity option market simulators for a si...
research
∙
11/15/2021
Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures
We present a numerically efficient approach for learning minimal equival...
research
∙
03/22/2021
Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
We present a numerically efficient approach for learning a risk-neutral ...
research
∙
11/05/2019
