Deep equal risk pricing of financial derivatives with multiple hedging instruments
A Carbonneau, F Godin - arXiv preprint arXiv:2102.12694, 2021 - arxiv.org
This paper studies the equal risk pricing (ERP) framework for the valuation of European
financial derivatives. This option pricing approach is consistent with global trading strategies …
financial derivatives. This option pricing approach is consistent with global trading strategies …
Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
A Carbonneau, F Godin - Risks, 2023 - mdpi.com
The objective is to study the use of non-translation invariant risk measures within the equal
risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move …
risk pricing (ERP) methodology for the valuation of financial derivatives. The ability to move …
Hedging Policy Determinants on the Company: A Comparative Analysis.
A Muftiasa, LAW Sugesko - Rigeo, 2021 - rigeo.org
Companies can minimize their financial risk by using hedging. This hedging is carried out by
the company to avoid the impact of systematic risk fluctuations which tend to be detrimental …
the company to avoid the impact of systematic risk fluctuations which tend to be detrimental …
Pricing and hedging financial derivatives with reinforcement learning methods
A Carbonneau - 2021 - spectrum.library.concordia.ca
This thesis studies the problem of pricing and hedging financial derivatives with
reinforcement learning. Throughout all four papers, the underlying global hedging problems …
reinforcement learning. Throughout all four papers, the underlying global hedging problems …