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.
Trains neural nets for gamma hedging with model uncertainty.
Study of gamma-hedging using rough paths for European and exotic options.
Deep BSDE method for pricing and hedging complex financial portfolios.
We investigate LIBOR-based derivatives using a parsimonious field theory interest rate model capable of instilling imperfect correlation between different maturities. Delta and Gamma hedge parameters are derived for LIBOR Caps against fluctuations in underlying forward rates. An empirical illustration of our methodolog…
Proposes deep hedging for index options using implied volatility surface.
A new hedging strategy uses deep reinforcement learning to manage gamma and vega risks.
This paper presents hedging strategies for European and exotic options in a Levy market. By applying Taylor's Theorem, dynamic hedging portfolios are con- structed under different market assumptions, such as the existence of power jump assets or moment swaps. In the case of European options or baskets of European optio…
Study the hedging of cryptocurrency options in a volatile market.
EX-DRL improves extreme quantile prediction for financial risk management.
This paper deals with the computation of second or higher order greeks of financial securities. It combines two methods, Vibrato and automatic differentiation and compares with other methods. We show that this combined technique is faster than standard finite difference, more stable than automatic differentiation of se…