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 …

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal … criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at … maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide …

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 …

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 …

Unlike delta-hedging or similar methods based on Greeks, global hedging is an approach that optimizes some terminal … criterion that depends on the difference between the value of a derivative security and that of its hedging portfolio at … maturity or exercise. Global hedging methods in discrete time can be implemented using dynamic programming. They provide …

We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty … function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion … allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other …

successful in reducing capital requirements. Indeed the proposed local hedging scheme benefits from a higher exposure to equity …