Deep Hedging of Derivatives Using Reinforcement Learning

Citations

Cited by:

1. Federico Giorgi & Stefano Herzel & Paolo Pigato, 2023. "A Reinforcement Learning Algorithm for Trading Commodities," CEIS Research Paper 552, Tor Vergata University, CEIS, revised 18 Feb 2023.
2. Ariel Neufeld & Julian Sester & Mario v{S}iki'c, 2022. "Markov Decision Processes under Model Uncertainty," Papers 2206.06109, arXiv.org, revised Jan 2023.
3. Ariel Neufeld & Julian Sester & Mario Šikić, 2023. "Markov decision processes under model uncertainty," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 618-665, July.
4. Emmanuel Gnabeyeu & Omar Karkar & Imad Idboufous, 2024. "Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach," Papers 2410.11789, arXiv.org.
5. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
6. 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.
7. Jay Cao & Jacky Chen & Soroush Farghadani & John Hull & Zissis Poulos & Zeyu Wang & Jun Yuan, 2022. "Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning," Papers 2205.05614, arXiv.org, revised Jan 2023.
8. Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
9. Reilly Pickard & F. Wredenhagen & Y. Lawryshyn, 2024. "Optimizing Deep Reinforcement Learning for American Put Option Hedging," Papers 2405.08602, arXiv.org.
10. 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.
11. Allan Jonathan da Silva & Jack Baczynski & Leonardo Fagundes de Mello, 2023. "Hedging Interest Rate Options with Reinforcement Learning: an investigation of a heavy-tailed distribution," Business and Management Studies, Redfame publishing, vol. 9(2), pages 1-14, December.
12. Parvin Malekzadeh & Zissis Poulos & Jacky Chen & Zeyu Wang & Konstantinos N. Plataniotis, 2024. "EX-DRL: Hedging Against Heavy Losses with EXtreme Distributional Reinforcement Learning," Papers 2408.12446, arXiv.org, revised Aug 2024.
13. Monaco, Andrea & Perrotta, Adamaria & Sgarabottolo, Alessandro, 2025. "Assessing swaption portfolios for prepayment risk mitigation. A parametric perspective," Center for Mathematical Economics Working Papers 729, Center for Mathematical Economics, Bielefeld University.
14. Wing Fung Chong & Haoen Cui & Yuxuan Li, 2021. "Pseudo-Model-Free Hedging for Variable Annuities via Deep Reinforcement Learning," Papers 2107.03340, arXiv.org, revised Oct 2022.
15. Alejandra de la Rica Escudero & Eduardo C. Garrido-Merchan & Maria Coronado-Vaca, 2024. "Explainable Post hoc Portfolio Management Financial Policy of a Deep Reinforcement Learning agent," Papers 2407.14486, arXiv.org.
16. Bernhard Hientzsch, 2023. "Reinforcement Learning and Deep Stochastic Optimal Control for Final Quadratic Hedging," Papers 2401.08600, arXiv.org.
17. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
18. Chunhui Qiao & Xiangwei Wan, 2024. "Enhancing Black-Scholes Delta Hedging via Deep Learning," Papers 2407.19367, arXiv.org, revised Aug 2024.
19. Xianhua Peng & Xiang Zhou & Bo Xiao & Yi Wu, 2024. "A Risk Sensitive Contract-unified Reinforcement Learning Approach for Option Hedging," Papers 2411.09659, arXiv.org.
20. Reilly Pickard & Finn Wredenhagen & Julio DeJesus & Mario Schlener & Yuri Lawryshyn, 2024. "Hedging American Put Options with Deep Reinforcement Learning," Papers 2405.06774, arXiv.org.
21. 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.
22. 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.
23. Lei Zhao & Lin Cai, 2025. "Robust and Efficient Deep Hedging via Linearized Objective Neural Network," Papers 2502.17757, arXiv.org.
24. Yiheng Ding & Gangnan Yuan & Dewei Zuo & Ting Gao, 2025. "Hedging with Sparse Reward Reinforcement Learning," Papers 2503.04218, arXiv.org.
25. Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
26. Zheng Gong & Carmine Ventre & John O'Hara, 2021. "The Efficient Hedging Frontier with Deep Neural Networks," Papers 2104.05280, arXiv.org.