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Deep Hedging: Learning to Simulate Equity Option Markets

Citations

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Cited by:

  1. Yichen Feng & Ming Min & Jean-Pierre Fouque, 2022. "Deep Learning for Systemic Risk Measures," Papers 2207.00739, arXiv.org.
  2. Solveig Flaig & Gero Junike, 2021. "Scenario generation for market risk models using generative neural networks," Papers 2109.10072, arXiv.org, revised Aug 2023.
  3. Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020. "A generative adversarial network approach to calibration of local stochastic volatility models," Papers 2005.02505, arXiv.org, revised Sep 2020.
  4. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Estimating risks of option books using neural-SDE market models," Papers 2202.07148, arXiv.org.
  5. Magnus Wiese & Phillip Murray, 2022. "Risk-Neutral Market Simulation," Papers 2202.13996, arXiv.org.
  6. Vedant Choudhary & Sebastian Jaimungal & Maxime Bergeron, 2023. "FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs," Papers 2303.00859, arXiv.org, revised Dec 2023.
  7. Assouli, Mouhcine & Missaoui, Badr, 2023. "Deep learning for Mean Field Games with non-separable Hamiltonians," Chaos, Solitons & Fractals, Elsevier, vol. 174(C).
  8. Magnus Wiese & Ben Wood & Alexandre Pachoud & Ralf Korn & Hans Buehler & Phillip Murray & Lianjun Bai, 2021. "Multi-Asset Spot and Option Market Simulation," Papers 2112.06823, arXiv.org.
  9. John Armstrong & George Tatlow, 2024. "Deep Gamma Hedging," Papers 2409.13567, arXiv.org.
  10. Francesca Biagini & Lukas Gonon & Niklas Walter, 2024. "Universal randomised signatures for generative time series modelling," Papers 2406.10214, arXiv.org, revised Sep 2024.
  11. Gero Junike & Solveig Flaig & Ralf Werner, 2023. "Validation of machine learning based scenario generators," Papers 2301.12719, arXiv.org, revised Dec 2024.
  12. Hans Buhler & Blanka Horvath & Terry Lyons & Imanol Perez Arribas & Ben Wood, 2020. "A Data-driven Market Simulator for Small Data Environments," Papers 2006.14498, arXiv.org.
  13. Michael Karpe, 2020. "An overall view of key problems in algorithmic trading and recent progress," Papers 2006.05515, arXiv.org.
  14. Yuji Shinozaki, 2024. "A Review of New Developments in Finance with Deep Learning: Deep Hedging and Deep Calibration," IMES Discussion Paper Series 24-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
  15. Ali Fathi & Bernhard Hientzsch, 2023. "A Comparison of Reinforcement Learning and Deep Trajectory Based Stochastic Control Agents for Stepwise Mean-Variance Hedging," Papers 2302.07996, arXiv.org, revised Nov 2023.
  16. El Amine Cherrat & Snehal Raj & Iordanis Kerenidis & Abhishek Shekhar & Ben Wood & Jon Dee & Shouvanik Chakrabarti & Richard Chen & Dylan Herman & Shaohan Hu & Pierre Minssen & Ruslan Shaydulin & Yue , 2023. "Quantum Deep Hedging," Papers 2303.16585, arXiv.org, revised Nov 2023.
  17. Solveig Flaig & Gero Junike, 2022. "Scenario Generation for Market Risk Models Using Generative Neural Networks," Risks, MDPI, vol. 10(11), pages 1-28, October.
  18. Christa Cuchiero & Wahid Khosrawi & Josef Teichmann, 2020. "A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models," Risks, MDPI, vol. 8(4), pages 1-31, September.
  19. Bilgi Yilmaz & Christian Laudagé & Ralf Korn & Sascha Desmettre, 2024. "Electricity GANs: Generative Adversarial Networks for Electricity Price Scenario Generation," Commodities, MDPI, vol. 3(3), pages 1-27, July.
  20. Hans Buehler & Phillip Murray & Mikko S. Pakkanen & Ben Wood, 2021. "Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures," Papers 2111.07844, arXiv.org, revised Jan 2022.
  21. Blanka Horvath & Josef Teichmann & Zan Zuric, 2021. "Deep Hedging under Rough Volatility," Papers 2102.01962, arXiv.org.
  22. Haoyang Cao & Xin Guo, 2021. "Generative Adversarial Network: Some Analytical Perspectives," Papers 2104.12210, arXiv.org, revised Sep 2021.
  23. Weilong Fu & Ali Hirsa & Jorg Osterrieder, 2022. "Simulating financial time series using attention," Papers 2207.00493, arXiv.org.
  24. Blanka Horvath & Josef Teichmann & Žan Žurič, 2021. "Deep Hedging under Rough Volatility," Risks, MDPI, vol. 9(7), pages 1-20, July.
  25. Hans Buehler & Phillip Murray & Mikko S. Pakkanen & Ben Wood, 2021. "Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics," Papers 2103.11948, arXiv.org, revised Jul 2021.
  26. Zacharia Issa & Blanka Horvath, 2023. "Non-parametric online market regime detection and regime clustering for multidimensional and path-dependent data structures," Papers 2306.15835, arXiv.org.
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