Robust Risk-Aware Option Hedging

DOI10.1080/1350486X.2023.2301354MaRDI QIDQ6490769zbMATH OpenWikidataFDO

Authors David Teng Wu, Sebastian Jaimungal

Publication date 23 April 2024

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/1350486X.2023.2301354

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Hedging Option Books Using Neural-SDE Market Models

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
• Coherent measures of risk
• Deep hedging
• Efficient option replication in the presence of transactions costs
• Nonparametric kernel density estimation and its computational aspects
• Optimal static-dynamic hedges for exotic options under convex risk measures
• Optimal transport for applied mathematicians. Calculus of variations, PDEs, and modeling
• Practical augmented Lagrangian methods for constrained optimization
• Robust deep hedging
• Robust risk-aware reinforcement learning
• The Dual Theory of Choice under Risk
• The pricing of options and corporate liabilities

Cited in

(3)

• Robust reinforcement learning with dynamic distortion risk measures
• Estimation of generalized tail distortion risk measures with applications in reinsurance
• Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies

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