evaluated on several cost functions. Results from such analysis can be used to appraise the need for hedging. Of the three …

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 in … capable of capturing the non-Markoviantity of time-series. We also analyse the hedging behaviour in these models in terms of …

Likelihood theory. The method works well in praxis as illustrated on the DAX option prices data. …

optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As … options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model …