research
∙
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 ...
share
research
∙
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...
research
∙
02/28/2022
Risk-Neutral Market Simulation
We develop a risk-neutral spot and equity option market simulator for a ...
research
∙
12/13/2021
Multi-Asset Spot and Option Market Simulation
We construct realistic spot and equity option market simulators for a si...
research
∙
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...
research
∙
03/22/2021
Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
We present a numerically efficient approach for learning a risk-neutral ...
research
∙
07/13/2020