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Deep hedging: hedging derivatives under generic market frictions using reinforcement learning

Buehler, Hans; Gonon, Lukas; Teichmann, Josef; Wood, Ben; … - 2019

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 …

Persistent link: https://www.econbiz.de/10012179635

Pricing and hedging in incomplete markets with model uncertainty

Balter, Anne G.; Pelsser, Antoon André Jean - In: European journal of operational research : EJOR 282 (2020) 3, pp. 911-925

Persistent link: https://www.econbiz.de/10012161810

Variance optimal hedging with application to electricity markets

Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59

Persistent link: https://www.econbiz.de/10012162373

Hedging and pricing illiquid options with market impacts

Saito, Taiga - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-37

Persistent link: https://www.econbiz.de/10011778270

On arbitrage and duality under model uncertainty and portfolio constraints

Bayraktar, Erhan; Zhou, Zhou - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 988-1012

Persistent link: https://www.econbiz.de/10011765002

Optimal hedging in incomplete markets

Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287

Persistent link: https://www.econbiz.de/10012425323

Robust long-term interest rate risk hedging in incomplete bond markets

Shen, Sally; Pelsser, Antoon André Jean; Schotman, Peter C. - In: Journal of pension economics and finance : JPEF 20 (2021) 2, pp. 273-300

Persistent link: https://www.econbiz.de/10012505369

Quadratic hedging for sequential claims with random weights in discrete time

Deng, Jun; Zou, Bin - In: Operations research letters 49 (2021) 2, pp. 218-225

Persistent link: https://www.econbiz.de/10012506620

Pricing and Hedging Derivative Securities in Incomplete Markets : An E-Aritrage Model

Bertsimas, Dimitris - 1997

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 portfolio strategy involving only the underlying securities...

Persistent link: https://www.econbiz.de/10012472561

Pricing and hedging GDP-linked bonds in incomplete markets

Consiglio, Andrea; Zenios, Stauros Andrea - In: Journal of economic dynamics & control 88 (2018), pp. 137-155

Persistent link: https://www.econbiz.de/10011973933

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