Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies
From MaRDI portal
Cites work
- scientific article; zbMATH DE number 3708143 (Why is no real title available?)
- scientific article; zbMATH DE number 3434895 (Why is no real title available?)
- scientific article; zbMATH DE number 3199085 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Bounds on European option prices under stochastic volatility
- Buy-and-hold property for fully incomplete markets when super-replicating Markovian claims
- Characteristic functions of measures on geometric rough paths
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Deep hedging
- Deep learning
- Detecting and repairing arbitrage in traded option prices
- Empirical properties of asset returns: stylized facts and statistical issues
- European option pricing with stochastic volatility models under parameter uncertainty
- Expected signature of Brownian motion up to the first exit time from a bounded domain
- Exponential utility maximization under model uncertainty for unbounded endowments
- Frameworks and results in distributionally robust optimization
- Hedging with small uncertainty aversion
- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Martingale optimal transport and robust hedging in continuous time
- Maxmin expected utility with non-unique prior
- On the super replication price of unbounded claims
- Optimal static-dynamic hedges for exotic options under convex risk measures
- Probabilistic aspects of finance
- Risk Measures and Robust Optimization Problems
- Risk measure pricing and hedging in incomplete markets
- Robust Risk-Aware Option Hedging
- Robust deep hedging
- Robust risk-aware reinforcement learning
- Robustness
- Robustness of the Black and Scholes Formula
- Rough paths, signatures and the modelling of functions on streams
- Sensitivity analysis of Wasserstein distributionally robust optimization problems
- Stochastic finance. An introduction in discrete time.
- Superreplication under volatility uncertainty for measurable claims
- The pricing of options and corporate liabilities
- The signature kernel is the solution of a Goursat PDE
- The uniqueness of signature problem in the non-Markov setting
- Uniqueness for the signature of a path of bounded variation and the reduced path group
This page was built for publication: Robust Hedging GANs: Towards Automated Robustification of Hedging Strategies
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6934516)
