Artikel
Deep partial hedging
Using techniques from deep learning, we show that neural networks can be trained successfully to replicate the modified payoff functions that were first derived in the context of partial hedging by Föllmer and Leukert. Not only does this approach better accommodate the realistic setting of hedging in discrete time, it also allows for the inclusion of transaction costs as well as general market dynamics. It needs to be noted that, without further modifications, the approach works only if the risk aversion is beyond a certain level.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 5 ; Pages: 1-5
- Classification
-
Management
- Subject
-
machine learning
market frictions
partial hedging
risk management
transaction costs
- Event
-
Geistige Schöpfung
- (who)
-
Hou, Songyan
Krabichler, Thomas
Wunsch, Marcus
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2022
- DOI
-
doi:10.3390/jrfm15050223
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Hou, Songyan
- Krabichler, Thomas
- Wunsch, Marcus
- MDPI
Time of origin
- 2022
Other Objects (12)
Deep hedging under rough volatility
Multiperiod hedging using futures: Mean reversion and the optimal hedging path
Pricing and hedging American-style options with deep learning
Humanizing finance by hedging property values
Effective basemetal hedging: The optimal hedge ratio and hedging horizon
Effect of variance swap in hedging volatility risk
Production flexibility and hedging
Hedging on betting markets
Quadratic hedging of basis risk
A general empirical model of hedging
Does managerial power increase selective hedging? Evidence from the oil and gas industry
Hedging with liquidity risk under CEV diffusion
Deep hedging under rough volatility
Multiperiod hedging using futures: Mean reversion and the optimal hedging path
Pricing and hedging American-style options with deep learning
Humanizing finance by hedging property values
Effective basemetal hedging: The optimal hedge ratio and hedging horizon
Effect of variance swap in hedging volatility risk
Production flexibility and hedging
Hedging on betting markets
Quadratic hedging of basis risk
A general empirical model of hedging
Does managerial power increase selective hedging? Evidence from the oil and gas industry
Hedging with liquidity risk under CEV diffusion
Deep hedging under rough volatility
Multiperiod hedging using futures: Mean reversion and the optimal hedging path
Pricing and hedging American-style options with deep learning
Humanizing finance by hedging property values
Effective basemetal hedging: The optimal hedge ratio and hedging horizon
Effect of variance swap in hedging volatility risk
Production flexibility and hedging
Hedging on betting markets
Quadratic hedging of basis risk
A general empirical model of hedging
Does managerial power increase selective hedging? Evidence from the oil and gas industry