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07/19/2023
Sig-Splines: universal approximation and convex calibration of time series generative models
We propose a novel generative model for multivariate discrete-time time ...
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07/15/2022
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
We present a method for finding optimal hedging policies for arbitrary i...
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02/28/2022
Risk-Neutral Market Simulation
We develop a risk-neutral spot and equity option market simulator for a ...
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12/13/2021
Multi-Asset Spot and Option Market Simulation
We construct realistic spot and equity option market simulators for a si...
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11/15/2021
Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures
We present a numerically efficient approach for learning minimal equival...
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03/22/2021
Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
We present a numerically efficient approach for learning a risk-neutral ...
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07/13/2020
