Hedging With Linear Regressions and Neural Networks

DOI10.1080/07350015.2021.1931241MaRDI QIDQ6620965zbMATH OpenFDO

Authors Johannes Ruf

Publication date 17 October 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07350015.2021.1931241

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• Asymptotic analysis of hedging errors in models with jumps
• Deep hedging
• Delta-hedging vega risk?
• Dynamic hedging of portfolio credit derivatives
• Dynamics of implied volatility surfaces
• Error bounds for approximations with deep ReLU networks
• Incorporating functional knowledge in neural networks
• On the performance of delta hedging strategies in exponential Lévy models
• Pricing and hedging derivative securities with neural networks and a homogeneity hint
• Uncertain volatility and the risk-free synthesis of derivatives

Cited in

(2)

• Detecting data-driven robust statistical arbitrage strategies with deep neural networks
• Neural optimal stopping boundary

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