Fast Deep Hedging with Second-Order Optimization

K Mueller, A Akkari, L Gonon, B Wood - Proceedings of the 5th ACM …, 2024 - dl.acm.org
Hedging exotic options in presence of market frictions is an important risk management task.
Deep hedging can solve such hedging problems by training neural network policies in …

Fast Deep Hedging with Second-Order Optimization

K Mueller, A Akkari, L Gonon, B Wood - 2024 - econpapers.repec.org
Hedging exotic options in presence of market frictions is an important risk management task.
Deep hedging can solve such hedging problems by training neural network policies in …

Fast Deep Hedging with Second-Order Optimization

K Mueller, A Akkari, L Gonon, B Wood - arXiv e-prints, 2024 - ui.adsabs.harvard.edu
Hedging exotic options in presence of market frictions is an important risk management task.
Deep hedging can solve such hedging problems by training neural network policies in …

Fast Deep Hedging with Second-Order Optimization

K Mueller, A Akkari, L Gonon, B Wood - 2024 - ideas.repec.org
Hedging exotic options in presence of market frictions is an important risk management task.
Deep hedging can solve such hedging problems by training neural network policies in …

Fast Deep Hedging with Second-Order Optimization

K Mueller, A Akkari, L Gonon, B Wood - arXiv preprint arXiv:2410.22568, 2024 - arxiv.org
Hedging exotic options in presence of market frictions is an important risk management task.
Deep hedging can solve such hedging problems by training neural network policies in …