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 …

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 …

applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …

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 …