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Sample average approximation of CVaR-based hedging problem with a deep-learning solution

Peng, Cheng; Li, Shuang; Zhao, Yanlong; Bao, Ying - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012821981

Deep hedging under rough volatility

Horvath, Blanka Nora; Teichmann, Josef; Zuric, Zan - 2021

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 with view to existing theoretical results for those....

Persistent link: https://www.econbiz.de/10012800441

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021

Persistent link: https://www.econbiz.de/10012616192

An acceleration scheme for deep learning-based BSDE solver using weak expansions

Naito, Riu; Yamada, Toshihiro - In: International journal of financial engineering 7 (2020) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10012602946

On the impact of deep learning-based time-series forecasts on multistage stochastic programming policies

Wang, Juyoung; Cevik, Mucahit; Bodur, Merve - In: INFOR : information systems and operational research 60 (2022) 2, pp. 133-164

Persistent link: https://www.econbiz.de/10013271181

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021

Persistent link: https://www.econbiz.de/10012813680

Gaussian clustering and jump-diffusion models of electricity prices : a deep learning analysis

Mari, Carlo; Mari, Emiliano - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1039-1062

Persistent link: https://www.econbiz.de/10012795108

A hybrid deep learning method for optimal insurance strategies : algorithms and convergence analysis

Zhuo, Jin; Yang, Hailiang; Yin, George G. - In: Insurance / Mathematics & economics 96 (2021), pp. 262-275

Persistent link: https://www.econbiz.de/10012482892

Deep neural networks, gradient-boosted trees, random forests : statistical arbitrage on the S&P 500

Krauss, Christopher; Do, Xuan Anh; Huck, Nicolas - In: European journal of operational research : EJOR 259 (2017) 2, pp. 689-702

Persistent link: https://www.econbiz.de/10011661795

Accelerated share repurchase and other buyback programs : what neural networks can bring

Guéant, Olivier; Manziuk, Iuliia; Pu, Jiang - In: Quantitative finance 20 (2020) 8, pp. 1389-1404

Persistent link: https://www.econbiz.de/10012262692