Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions

15 July 2022

Papers citing "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions"

10 / 10 papers shown

Title
Fast Deep Hedging with Second-Order Optimization Konrad Mueller Amira Akkari Lukas Gonon Ben Wood ODL 29 0 0 29 Oct 2024
Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach Emmanuel Gnabeyeu Omar Karkar Imad Idboufous 21 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 26 1 0 22 Aug 2024
Hedging American Put Options with Deep Reinforcement Learning Reilly Pickard F. Wredenhagen Julio DeJesus Mario Schlener Y. Lawryshyn 35 1 0 10 May 2024
Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulators Masanori Hirano 23 0 0 15 Apr 2024
Applying Reinforcement Learning to Option Pricing and Hedging Zoran Stoiljkovic 16 0 0 06 Oct 2023
Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling Masanori Hirano Kentaro Minami Kentaro Imajo GAN 14 3 0 25 Jul 2023
Quantum Deep Hedging El Amine Cherrat S. Raj Iordanis Kerenidis Abhishek Shekhar Ben Wood ... Pierre Minssen Ruslan Shaydulin Yue Sun Romina Yalovetzky Marco Pistoia 26 25 0 29 Mar 2023
Hedging using reinforcement learning: Contextual $k$ -Armed Bandit versus $Q$ -learning Loris Cannelli Giuseppe Nuti M. Sala O. Szehr OffRL 11 9 0 03 Jul 2020
Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approach Yinlam Chow Aviv Tamar Shie Mannor Marco Pavone 62 310 0 06 Jun 2015