We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas … for prices and hedging strategies in terms of the security's cash gamma …

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

, regardless of the level of volatility, thus providing an explanation to the well known U-shaped pricing kernel puzzle …

stochastic volatility process with asset return and volatility jumps. In this note, we prove that Lin and Chang's formula is not …

) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models …We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …