相关论文: Risk-Sensitive Option Market Making with Arbitrage…

We present a white-box, risk-sensitive framework for jointly hedging SPX and VIX exposures under transaction costs and regime shifts. The approach couples an arbitrage-free market teacher with a control layer that enforces safety as…

This paper considers risk-sensitive model predictive control for stochastic systems with a decision-dependent distribution. This class of systems is commonly found in human-robot interaction scenarios. We derive computationally tractable…

We present a cross-market algorithmic trading system that balances execution quality with rigorous compliance enforcement. The architecture comprises a high-level planner, a reinforcement learning execution agent, and an independent…

The cryptocurrency market is volatile, non-stationary and non-continuous. Together with liquid derivatives markets, this poses a unique opportunity to study risk management, especially the hedging of options, in a turbulent market. We study…

This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives. Sensitivities-based hedging of such liability is sub-optimal because of bid-ask costs, pricing models…

We demonstrate an application of risk-sensitive reinforcement learning to optimizing execution in limit order book markets. We represent taking order execution decisions based on limit order book knowledge by a Markov Decision Process; and…

The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…

This paper proposes a unified control framework based on Response-Aware Risk-Constrained Control Barrier Function for dynamic safety boundary control of vehicles. Addressing the problem of physical model parameter mismatch, the framework…

Safe navigation is a fundamental challenge in multi-robot systems due to the uncertainty surrounding the future trajectory of the robots that act as obstacles for each other. In this work, we propose a principled data-driven approach where…

In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional…

We describe a robust calibration algorithm of a set of SSVI slices (i.e. a set of 3 SSVI parameters $\theta, \rho, \varphi$ attached to each option maturity available on the market), which grants that these slices are free of Butterfly and…

We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible…

Mainstream approximate action-value iteration reinforcement learning (RL) algorithms suffer from overestimation bias, leading to suboptimal policies in high-variance stochastic environments. Quantile-based action-value iteration methods…

We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…

We present a reinforcement-learning (RL) framework for dynamic hedging of equity index option exposures under realistic transaction costs and position limits. We hedge a normalized option-implied equity exposure (one unit of underlying…

We propose a reinforcement learning (RL) framework under a broad class of risk objectives, characterized by convex scoring functions. This class covers many common risk measures, such as variance, Expected Shortfall, entropic Value-at-Risk,…

The objectives of option hedging/trading extend beyond mere protection against downside risks, with a desire to seek gains also driving agent's strategies. In this study, we showcase the potential of robust risk-aware reinforcement learning…

We present a heuristic policy and performance bound for risk-sensitive convex stochastic control that generalizes linear-exponential-quadratic regulator (LEQR) theory. Our heuristic policy extends standard, risk-neutral model predictive…

Deep hedging trains neural networks to manage derivative risk under market frictions, but produces hedge ratios with no measure of model confidence -- a significant barrier to deployment. We introduce uncertainty quantification to the deep…

In this paper we show how risk-averse reinforcement learning can be used to hedge options. We apply a state-of-the-art risk-averse algorithm: Trust Region Volatility Optimization (TRVO) to a vanilla option hedging environment, considering…