, hedging and super-hedging options for a large trader, utility maximization in illiquid markets and price impact models with …

hedging product for the spot market, and the demand for this product is high when the market becomes risky: more risk averse …

taking into account the relevance of pricing and hedging strategies for financial institutions …

and state-space scenario tree to price GDP-linked bonds. As a by-product of the model we obtain a hedging portfolio. Using …

and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging portfolio. Using …

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 …

We present a novel computational approach for quadratic hedging in a high-dimensional incomplete market. This covers … both mean-variance hedging and local risk minimization. In the first case, the solution is linked to a system of BSDEs, one …, we solve high-dimensional quadratic hedging problems, providing the entire hedging strategies paths, which, in …