相关论文: Deep Hedging of Long-Term Financial Derivatives

We have applied a Long Short-Term Memory neural network to model S&P 500 volatility, incorporating Google domestic trends as indicators of the public mood and macroeconomic factors. In a held-out test set, our Long Short-Term Memory model…

The recent development of quantum computing gives us an opportunity to explore its potential applications to many fields, with the field of finance being no exception. In this paper, we apply the deep quantum neural network proposed by Beer…

Stochastic control with both inherent random system noise and lack of knowledge on system parameters constitutes the core and fundamental topic in reinforcement learning (RL), especially under non-episodic situations where online learning…

In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key related theoretical aspects, with a particular focus on the…

Natural hedging allows life insurers to manage longevity risk internally by offsetting the opposite exposures of life insurance and annuity liabilities. Although many studies have proposed natural hedging strategies under different…

This paper introduces a novel multivariate volatility modeling framework, named Long Short-Term Memory enhanced BEKK (LSTM-BEKK), that integrates deep learning into multivariate GARCH processes. By combining the flexibility of recurrent…

We present a dynamic hedging scheme for S&P 500 options, where rebalancing decisions are enhanced by integrating information about the implied volatility surface dynamics. The optimal hedging strategy is obtained through a deep policy…

We analyze a fixed-point algorithm for reinforcement learning (RL) of optimal portfolio mean-variance preferences in the setting of multivariate generalized autoregressive conditional-heteroskedasticity (MGARCH) with a small penalty on…

We describe the pricing and hedging of financial options without the use of probability using rough paths. By encoding the volatility of assets in an enhancement of the price trajectory, we give a pathwise presentation of the replication of…

Deep neural networks (DNNs) are powerful types of artificial neural networks (ANNs) that use several hidden layers. They have recently gained considerable attention in the speech transcription and image recognition community (Krizhevsky et…

Accurate estimates of long-term risk probabilities and their gradients are critical for many stochastic safe control methods. However, computing such risk probabilities in real-time and in unseen or changing environments is challenging.…

This study proposes a portfolio optimization framework that integrates advanced deep learning architectures with traditional financial models to enhance risk-adjusted performance. Using historical data from 2015-2023 across equities, ETFs,…

Portfolio optimization is essential for balancing risk and return in financial decision-making. Deep Reinforcement Learning (DRL) has stood out as a cutting-edge tool for portfolio optimization that learns dynamic asset allocation using…

Decision analytics commonly focuses on the text mining of financial news sources in order to provide managerial decision support and to predict stock market movements. Existing predictive frameworks almost exclusively apply traditional…

We present an approach, based on deep neural networks, that allows identifying robust statistical arbitrage strategies in financial markets. Robust statistical arbitrage strategies refer to trading strategies that enable profitable trading…

In the property and casualty (P&C) insurance industry, reserves comprise most of a company's liabilities. These reserves are the best estimates made by actuaries for future unpaid claims. Notably, reserves for different lines of business…

In this paper, we present a novel trading strategy that integrates reinforcement learning methods with clustering techniques for portfolio management in multi-period trading. Specifically, we leverage the clustering method to categorize…

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an…

Stock trading strategy plays a crucial role in investment companies. However, it is challenging to obtain optimal strategy in the complex and dynamic stock market. We explore the potential of deep reinforcement learning to optimize stock…

Many cryptocurrency brokers nowadays offer a variety of derivative assets that allow traders to perform hedging or speculation. This paper proposes an effective algorithm based on neural networks to take advantage of these investment…