IDEAS home Printed from https://ideas.repec.org/r/arx/papers/2102.01962.html

Deep Hedging under Rough Volatility

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments," Papers 2102.12694, arXiv.org.
  2. Masanori Hirano & Kentaro Imajo & Kentaro Minami & Takuya Shimada, 2023. "Efficient Learning of Nested Deep Hedging using Multiple Options," Papers 2305.12264, arXiv.org.
  3. François, Pascal & Gauthier, Geneviève & Godin, Frédéric & Mendoza, Carlos Octavio Pérez, 2025. "Is the difference between deep hedging and delta hedging a statistical arbitrage?," Finance Research Letters, Elsevier, vol. 73(C).
  4. Daniele Angelini & Matthieu Garcin, 2024. "Market information of the fractional stochastic regularity model," Papers 2409.07159, arXiv.org, revised May 2025.
  5. Pascal Franc{c}ois & Genevi`eve Gauthier & Fr'ed'eric Godin & Carlos Octavio P'erez Mendoza, 2024. "Is the difference between deep hedging and delta hedging a statistical arbitrage?," Papers 2407.14736, arXiv.org, revised Oct 2024.
  6. Ofelia Bonesini & Antoine Jacquier & Alexandre Pannier, 2023. "Rough volatility, path-dependent PDEs and weak rates of convergence," Papers 2304.03042, arXiv.org, revised May 2026.
  7. Eduardo Abi Jaber & Louis-Amand Gérard, 2025. "Hedging with memory: shallow and deep learning with signatures," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05197836, HAL.
  8. Shota Imaki & Kentaro Imajo & Katsuya Ito & Kentaro Minami & Kei Nakagawa, 2021. "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging," Papers 2103.01775, arXiv.org.
  9. Pascal Franc{c}ois & Genevi`eve Gauthier & Fr'ed'eric Godin & Carlos Octavio P'erez Mendoza, 2024. "Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information," Papers 2407.21138, arXiv.org, revised Aug 2025.
  10. Anastasis Kratsios & Giulia Livieri & Philipp Schmocker, 2026. "NeuralChaos: Optimal Adapted Approximation of Square Integrable Predictable Processes," Papers 2607.14361, arXiv.org.
  11. Kang Gao & Stephen Weston & Perukrishnen Vytelingum & Namid R. Stillman & Wayne Luk & Ce Guo, 2023. "Deeper Hedging: A New Agent-based Model for Effective Deep Hedging," Papers 2310.18755, arXiv.org.
  12. John Armstrong & George Tatlow, 2024. "Deep Gamma Hedging," Papers 2409.13567, arXiv.org.
  13. Takayuki Sakuma, 2026. "Robust Hedging Valuation Adjustment for Deep Hedging Policies under Market Frictions," Papers 2607.25258, arXiv.org.
  14. Alexandre Carbonneau & Fr'ed'eric Godin, 2021. "Deep equal risk pricing of financial derivatives with non-translation invariant risk measures," Papers 2107.11340, arXiv.org.
  15. Mathieu Rosenbaum & Jianfei Zhang, 2021. "Deep calibration of the quadratic rough Heston model," Papers 2107.01611, arXiv.org, revised May 2022.
  16. Changqing Teng & Guanglian Li, 2024. "Unsupervised Learning-based Calibration Scheme for Rough Volatility Models," Papers 2412.02135, arXiv.org, revised Jan 2026.
  17. Phillip Murray & Ben Wood & Hans Buehler & Magnus Wiese & Mikko S. Pakkanen, 2022. "Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions," Papers 2207.07467, arXiv.org.
  18. Masanori Hirano & Kentaro Minami & Kentaro Imajo, 2023. "Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling," Papers 2307.13217, arXiv.org.
  19. Hainaut, Donatien & Casas, Alex, 2024. "Option pricing in the Heston model with Physics inspired neural networks," LIDAM Discussion Papers ISBA 2024002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  20. Donatien Hainaut & Alex Casas, 2024. "Option pricing in the Heston model with physics inspired neural networks," Annals of Finance, Springer, vol. 20(3), pages 353-376, September.
  21. Konrad Mueller & Amira Akkari & Lukas Gonon & Ben Wood, 2024. "Fast Deep Hedging with Second-Order Optimization," Papers 2410.22568, arXiv.org.
  22. Masaaki Fukasawa & Jim Gatheral, 2021. "A rough SABR formula," Papers 2105.05359, arXiv.org.
  23. Manan Poddar, 2026. "Uncertainty-Aware Deep Hedging," Papers 2603.10137, arXiv.org.
  24. Eduardo Abi Jaber & Louis-Amand G'erard, 2025. "Hedging with memory: shallow and deep learning with signatures," Papers 2508.02759, arXiv.org.
  25. Owen Futter & Blanka Horvath & Magnus Wiese, 2023. "Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals," Papers 2308.15135, arXiv.org, revised Aug 2023.
  26. Carsten Chong & Marc Hoffmann & Yanghui Liu & Mathieu Rosenbaum & Gr'egoire Szymanski, 2022. "Statistical inference for rough volatility: Minimax Theory," Papers 2210.01214, arXiv.org, revised Feb 2024.
  27. Ryuji Hashimoto & Masanori Hirano & Ryota Ozaki & Kentaro Imajo, 2026. "Rethinking Synthetic Scenario Realism: Compatibility, Not Fidelity, Drives Hedging Performance," Papers 2608.20842, arXiv.org, revised Sep 2026.
  28. Beatrice Acciaio & Anastasis Kratsios & Gudmund Pammer, 2022. "Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer," Papers 2201.13094, arXiv.org, revised Mar 2023.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.