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A family of maximum entropy densities matching call option prices
Neri, Cassio; Schneider, Lorenz - In: Applied mathematical finance 20 (2013) 5/6, pp. 548-577
Persistent link: https://www.econbiz.de/10010235560
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Deep reinforcement learning for market making in corporate bonds : beating the curse of dimensionality
Guéant, Olivier; Manziuk, Iuliia - In: Applied mathematical finance 26 (2019) 5, pp. 387-452
Persistent link: https://www.econbiz.de/10012210413
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Double Deep Q-Learning for optimal execution
Ning, Brian; Lin, Franco Ho Ting; Jaimungal, Sebastian - In: Applied mathematical finance 28 (2021) 4, pp. 361-380
Persistent link: https://www.econbiz.de/10013411703
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Policy gradient learning methods for stochastic control with exit time and applications to share repurchase pricing
Hamdouche, Mohamed; Henry-Labordere, Pierre; Pham, Huyên - In: Applied mathematical finance 29 (2022) 6, pp. 439-456
Persistent link: https://www.econbiz.de/10014390280
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Deep Q-learning for Nash equilibria : Nash-DQN
Casgrain, Philippe; Ning, Brian; Jaimungal, Sebastian - In: Applied mathematical finance 29 (2022) 1, pp. 62-78
Persistent link: https://www.econbiz.de/10013554784
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Robust risk-aware option hedging
Wu, David; Jaimungal, Sebastian - In: Applied mathematical finance 30 (2023) 3, pp. 153-174
Persistent link: https://www.econbiz.de/10015051231