No-transaction band network : a neural network architecture for efficient deep hedging
Year of publication: |
2023
|
---|---|
Authors: | Imaki, Shota ; Imajo, Kentaro ; Ito, Katsuya ; Minami, Kentaro ; Nakagawa, Kei |
Published in: |
The journal of financial data science. - New York, NY : Pageant Media, Ltd., ISSN 2640-3951, ZDB-ID 2957666-0. - Vol. 5.2023, 2, p. 84-99
|
Subject: | Theorie | Theory | Neuronale Netze | Neural networks | Hedging |
-
Managing weather risk with a neural network-based index insurance
Chen, Zhanhui, (2024)
-
Trading and hedging the corn/ethanol crush spread using time-varying leverage and nonlinear models
Dunis, Christian, (2015)
-
Hedging the portfolio of raw materials and the commodity under the mark-to-market risk
Fu, Junhui, (2012)
- More ...
-
Efficient Learning of Nested Deep Hedging using Multiple Options
HIRANO, Masanori, (2023)
-
Adversarial Deep Hedging : Learning to Hedge without Price Process Modeling
HIRANO, Masanori, (2023)
-
Risk-based portfolios with large dynamic covariance matrices
Nakagawa, Kei, (2018)
- More ...