Insurers issuing segregated fund policies apply dynamic hedging to mitigate risks related to guarantees embedded in … the imperfect correlation between the underlying fund and its corresponding hedging instruments. The current work … discusses the implications of using fund mapping regressions when the joint dynamics of the underlying and hedging assets is a …

This paper explores the use of neural networks to reduce the computational cost of pricing and hedging variable annuity … the tasks of pricing as well as hedging four different varieties of variable annuity guarantees. We demonstrated a …

on modeling of defaultable markets, pricing and hedging of defaultable claims and results on the probability of default …

applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …

We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the … context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options … be equivalent to no-arbitrage under the additional assumption that hedging options with non-zero spread are non …

. The minimization of the calibration functional relies strongly on a variance reduction technique based on hedging and deep … hedging, which is interesting in its own right: it allows the calculation of model prices and model implied volatilities in an …

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We …