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 …

market factors, its volatility and the quality of hedging. The wrong way risk is most significant for exposures highly … CVA hedging strategy. While the benefits from hedging are always magnified in the situation of the wrong way risk, the …