1 code implementation • 10 May 2022 • Jay Cao, Jacky Chen, Soroush Farghadani, John Hull, Zissis Poulos, Zeyu Wang, Jun Yuan
We show how D4PG can be used in conjunction with quantile regression to develop a hedging strategy for a trader responsible for derivatives that arrive stochastically and depend on a single underlying asset.
no code implementations • 29 Mar 2021 • Jay Cao, Jacky Chen, John Hull, Zissis Poulos
This paper shows how reinforcement learning can be used to derive optimal hedging strategies for derivatives when there are transaction costs.
no code implementations • 22 Mar 2021 • Jay Cao, Jacky Chen, John Hull, Zissis Poulos
We refer to this as the model calibration approach (MCA).