Horvath, Blanka Nora; Teichmann, Josef; Žuric̆, Žan - In: Risks : open access journal 9 (2021) 7, pp. 1-20
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 …
