This article discusses a new application of reinforcement learning: to the problem of hedging a portfolio of “over … hedging instruments such as equities or listed options. The approach presented here is the first efficient and model …

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

We study the set of marginal utility-based prices of a financial derivative in the case where the investor has a non …

, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …