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Deep Hedging of Derivatives Using Reinforcement Learning

Deep Hedging of Derivatives Using Reinforcement Learning

29 March 2021
Jay Cao
Jacky Chen
J. Hull
Zissis Poulos
ArXivPDFHTML

Papers citing "Deep Hedging of Derivatives Using Reinforcement Learning"

23 / 23 papers shown
Title
Deep Reinforcement Learning Algorithms for Option Hedging
Deep Reinforcement Learning Algorithms for Option Hedging
Andrei Neagu
Frédéric Godin
Leila Kosseim
26
0
0
07 Apr 2025
Robust and Efficient Deep Hedging via Linearized Objective Neural Network
Robust and Efficient Deep Hedging via Linearized Objective Neural Network
Lei Zhao
Lin Cai
69
0
0
25 Feb 2025
Risk-averse policies for natural gas futures trading using distributional reinforcement learning
Risk-averse policies for natural gas futures trading using distributional reinforcement learning
Félicien Hêche
Biagio Nigro
Oussama Barakat
Stephan Robert-Nicoud
OffRL
39
0
0
08 Jan 2025
Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement
  Learning Approach
Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach
Emmanuel Gnabeyeu
Omar Karkar
Imad Idboufous
26
0
0
15 Oct 2024
EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional
  Reinforcement Learning
EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning
Parvin Malekzadeh
Zissis Poulos
Jacky Chen
Zeyu Wang
Konstantinos N. Plataniotis
28
1
0
22 Aug 2024
The Evolution of Reinforcement Learning in Quantitative Finance: A Survey
The Evolution of Reinforcement Learning in Quantitative Finance: A Survey
Nikolaos Pippas
Cagatay Turkay
Elliot A. Ludvig
AIFin
89
3
0
20 Aug 2024
Enhancing Deep Hedging of Options with Implied Volatility Surface
  Feedback Information
Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information
Pascal François
Genevieve Gauthier
Frédéric Godin
Carlos Octavio Pérez Mendoza
22
2
0
30 Jul 2024
Enhancing Black-Scholes Delta Hedging via Deep Learning
Enhancing Black-Scholes Delta Hedging via Deep Learning
Chunhui Qiao
Xiangwei Wan
22
0
0
28 Jul 2024
Explainable Post hoc Portfolio Management Financial Policy of a Deep
  Reinforcement Learning agent
Explainable Post hoc Portfolio Management Financial Policy of a Deep Reinforcement Learning agent
Alejandra de la Rica Escudero
E.C. Garrido-Merchán
Maria Coronado Vaca
AIFin
29
2
0
19 Jul 2024
Robust Q-Learning for finite ambiguity sets
Robust Q-Learning for finite ambiguity sets
Cécile Decker
Julian Sester
30
0
0
05 Jul 2024
Hedging American Put Options with Deep Reinforcement Learning
Hedging American Put Options with Deep Reinforcement Learning
Reilly Pickard
F. Wredenhagen
Julio DeJesus
Mario Schlener
Y. Lawryshyn
45
1
0
10 May 2024
Provably Efficient Partially Observable Risk-Sensitive Reinforcement
  Learning with Hindsight Observation
Provably Efficient Partially Observable Risk-Sensitive Reinforcement Learning with Hindsight Observation
Tonghe Zhang
Yu Chen
Longbo Huang
38
0
0
28 Feb 2024
Applying Reinforcement Learning to Option Pricing and Hedging
Applying Reinforcement Learning to Option Pricing and Hedging
Zoran Stoiljkovic
27
0
0
06 Oct 2023
Reinforcement Learning for Credit Index Option Hedging
Reinforcement Learning for Credit Index Option Hedging
Francesco Mandelli
Marco Pinciroli
Michele Trapletti
Edoardo Vittori
8
2
0
19 Jul 2023
Robust Risk-Aware Option Hedging
Robust Risk-Aware Option Hedging
David Wu
S. Jaimungal
18
11
0
27 Mar 2023
FuNVol: A Multi-Asset Implied Volatility Market Simulator using
  Functional Principal Components and Neural SDEs
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs
Vedant Choudhary
S. Jaimungal
Maxime Bergeron
14
13
0
01 Mar 2023
Delta Hedging Liquidity Positions on Automated Market Makers
Delta Hedging Liquidity Positions on Automated Market Makers
Akhilesh Khakhar
Xinyu Chen
19
5
0
04 Aug 2022
Markov Decision Processes under Model Uncertainty
Markov Decision Processes under Model Uncertainty
Ariel Neufeld
J. Sester
Mario Sikic
9
9
0
13 Jun 2022
Recent Advances in Reinforcement Learning in Finance
Recent Advances in Reinforcement Learning in Finance
B. Hambly
Renyuan Xu
Huining Yang
OffRL
27
166
0
08 Dec 2021
Hedging of Financial Derivative Contracts via Monte Carlo Tree Search
Hedging of Financial Derivative Contracts via Monte Carlo Tree Search
O. Szehr
AIFin
18
3
0
11 Feb 2021
FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading
  in Quantitative Finance
FinRL: A Deep Reinforcement Learning Library for Automated Stock Trading in Quantitative Finance
Xiao-Yang Liu
Hongyang Yang
Qian Chen
Runjia Zhang
Liuqing Yang
Bowen Xiao
Chris Wang
AIFin
OffRL
6
118
0
19 Nov 2020
Option Hedging with Risk Averse Reinforcement Learning
Option Hedging with Risk Averse Reinforcement Learning
Edoardo Vittori
Michele Trapletti
Marcello Restelli
6
24
0
23 Oct 2020
Hedging using reinforcement learning: Contextual $k$-Armed Bandit versus
  $Q$-learning
Hedging using reinforcement learning: Contextual kkk-Armed Bandit versus QQQ-learning
Loris Cannelli
Giuseppe Nuti
M. Sala
O. Szehr
OffRL
24
9
0
03 Jul 2020
1