On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,657 papers · 148 categories

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2 results for “TRVO”

Reinforcement Learning for Credit Index Option Hedgingq-fin.TR

Optimizes credit index option hedging with reinforcement learning.

problem Finding the best strategy for hedging credit index options.

method Applied reinforcement learning with TRVO algorithm in a realistic setting.

result The derived hedging strategy outperforms traditional methods.

reinforcement learning credit index options hedging TRVO algorithm realistic model

2023-07-19abs ↗pdf ↗

Option Hedging with Risk Averse Reinforcement Learningq-fin.TR

Risk-averse reinforcement learning optimizes option hedging.

problem Optimizing option hedging under risk aversion and realistic market conditions.

method Applied Trust Region Volatility Optimization (TRVO) to a vanilla option hedging environment.

result The derived hedging strategy outperforms Black & Scholes and is robust to market variations.

reinforcement learning option hedging risk aversion TRVO realistic markets

2020-10-23abs ↗pdf ↗