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 …

European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk … pricing and hedging formulae for put and call options are derived in terms of the Black–Scholes formula. Due to market … an approximate hedging formula, which does not require knowledge of these parameters. The hedging strategies are tested …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …

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 …