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Deep Hedging: Learning to Remove the Drift under Trading Frictions with
  Minimal Equivalent Near-Martingale Measures
v1v2v3 (latest)

Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures

15 November 2021
Hans Buehler
Phillip Murray
Mikko S. Pakkanen
Ben Wood
ArXiv (abs)PDFHTML

Papers citing "Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures"

2 / 2 papers shown
Title
A Data-driven Market Simulator for Small Data Environments
A Data-driven Market Simulator for Small Data Environments
Hans Bühler
Blanka Horvath
Terry Lyons
Imanol Perez Arribas
Ben Wood
82
67
0
21 Jun 2020
Deep Hedging: Learning to Simulate Equity Option Markets
Deep Hedging: Learning to Simulate Equity Option Markets
Magnus Wiese
Lianjun Bai
Ben Wood
Hans Buehler
GAN
82
69
0
05 Nov 2019
1