Deep Hedging of Derivatives Using Reinforcement Learning

29 March 2021

Papers citing "Deep Hedging of Derivatives Using Reinforcement Learning"

23 / 23 papers shown

Title
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 Lei Zhao Lin Cai 73 0 0 25 Feb 2025
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 Emmanuel Gnabeyeu Omar Karkar Imad Idboufous 26 0 0 15 Oct 2024
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 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 Pascal François Genevieve Gauthier Frédéric Godin Carlos Octavio Pérez Mendoza 22 2 0 30 Jul 2024
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 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 Cécile Decker Julian Sester 30 0 0 05 Jul 2024
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 Tonghe Zhang Yu Chen Longbo Huang 38 0 0 28 Feb 2024
Applying Reinforcement Learning to Option Pricing and Hedging Zoran Stoiljkovic 27 0 0 06 Oct 2023
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 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 Vedant Choudhary S. Jaimungal Maxime Bergeron 14 13 0 01 Mar 2023
Delta Hedging Liquidity Positions on Automated Market Makers Akhilesh Khakhar Xinyu Chen 19 5 0 04 Aug 2022
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 B. Hambly Renyuan Xu Huining Yang OffRL 27 166 0 08 Dec 2021
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 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 Edoardo Vittori Michele Trapletti Marcello Restelli 6 24 0 23 Oct 2020
Hedging using reinforcement learning: Contextual $k$ -Armed Bandit versus $Q$ -learning Loris Cannelli Giuseppe Nuti M. Sala O. Szehr OffRL 24 9 0 03 Jul 2020