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 …

to improve accounting for hedging activities and enhance derivative usage transparency. In this paper, I examine whether … on earnings volatility within different groups of derivative users. I split the sample banks into hedgers and non …-hedgers based on using derivatives for hedging purposes. Using detailed quarterly data on financial derivatives for bank holdings …

models provide satisfactory risk measures for listed energy commodity futures contracts. A simple estimation method …

Introduction -- Volatility and its estimation -- Overview of volatility derivatives -- Options delta hedging with no …

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing … in order to account for risk reduction through hedging. Results allow us to conclude that: dynamic hedging strategies … provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not …