Deep Hedging

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Deep Hedging

Author : Hans Buehler
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Deep Hedging by : Hans Buehler

Download or read book Deep Hedging written by Hans Buehler and published by . This book was released on 2019 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods.We discuss how standard reinforcement learning methods can be applied to non-linear reward structures, i.e. in our case convex risk measures. As a general contribution to the use of deep learning for stochastic processes, we also show in section 4 that the set of constrained trading strategies used by our algorithm is large enough to ∈-approximate any optimal solution.Our algorithm can be implemented efficiently even in high-dimensional situations using modern machine learning tools. Its structure does not depend on specific market dynamics, and generalizes across hedging instruments including the use of liquid derivatives. Its computational performance is largely invariant in the size of the portfolio as it depends mainly on the number of hedging instruments available.We illustrate our approach by showing the effect on hedging under transaction costs in a synthetic market driven by the Heston model, where we outperform the standard “complete market” solution.This is the "stochastic analysis" version of the paper. A version in machine learning notation is available here "https://ssrn.com/abstract=3355706" https://ssrn.com/abstract=3355706.

Machine Learning and Data Sciences for Financial Markets

Author : Agostino Capponi
Publisher : Cambridge University Press
ISBN 13 : 1316516199
Total Pages : 742 pages
Book Rating : 4.3/5 (165 download)

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Book Synopsis Machine Learning and Data Sciences for Financial Markets by : Agostino Capponi

Download or read book Machine Learning and Data Sciences for Financial Markets written by Agostino Capponi and published by Cambridge University Press. This book was released on 2023-04-30 with total page 742 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leveraging the research efforts of more than sixty experts in the area, this book reviews cutting-edge practices in machine learning for financial markets. Instead of seeing machine learning as a new field, the authors explore the connection between knowledge developed by quantitative finance over the past forty years and techniques generated by the current revolution driven by data sciences and artificial intelligence. The text is structured around three main areas: 'Interactions with investors and asset owners,' which covers robo-advisors and price formation; 'Risk intermediation,' which discusses derivative hedging, portfolio construction, and machine learning for dynamic optimization; and 'Connections with the real economy,' which explores nowcasting, alternative data, and ethics of algorithms. Accessible to a wide audience, this invaluable resource will allow practitioners to include machine learning driven techniques in their day-to-day quantitative practices, while students will build intuition and come to appreciate the technical tools and motivation for the theory.

Dynamic Hedging

Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)

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Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb

Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Author : Hans Buehler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)

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Book Synopsis Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning by : Hans Buehler

Download or read book Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning written by Hans Buehler and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Rough Volatility

Author : Christian Bayer
Publisher : SIAM
ISBN 13 : 1611977789
Total Pages : 292 pages
Book Rating : 4.6/5 (119 download)

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Book Synopsis Rough Volatility by : Christian Bayer

Download or read book Rough Volatility written by Christian Bayer and published by SIAM. This book was released on 2023-12-18 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves essentially as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling, providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject’s development and progression. This book is designed for researchers and graduate students in quantitative finance as well as quantitative analysts and finance professionals.

Frontiers in Quantitative Finance

Author : Rama Cont
Publisher : John Wiley & Sons
ISBN 13 : 0470456809
Total Pages : 312 pages
Book Rating : 4.4/5 (74 download)

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Book Synopsis Frontiers in Quantitative Finance by : Rama Cont

Download or read book Frontiers in Quantitative Finance written by Rama Cont and published by John Wiley & Sons. This book was released on 2009-03-09 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Petit D'euner de la Finance–which author Rama Cont has been co-organizing in Paris since 1998–is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.

Hedging Market Exposures

Author : Oleg V. Bychuk
Publisher : John Wiley & Sons
ISBN 13 : 111808537X
Total Pages : 322 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis Hedging Market Exposures by : Oleg V. Bychuk

Download or read book Hedging Market Exposures written by Oleg V. Bychuk and published by John Wiley & Sons. This book was released on 2011-06-28 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: Identify and understand the risks facing your portfolio, how to quantify them, and the best tools to hedge them This book scrutinizes the various risks confronting a portfolio, equips the reader with the tools necessary to identify and understand these risks, and discusses the best ways to hedge them. The book does not require a specialized mathematical foundation, and so will appeal to both the generalist and specialist alike. For the generalist, who may not have a deep knowledge of mathematics, the book illustrates, through the copious use of examples, how to identify risks that can sometimes be hidden, and provides practical examples of quantifying and hedging exposures. For the specialist, the authors provide a detailed discussion of the mathematical foundations of risk management, and draw on their experience of hedging complex multi-asset class portfolios, providing practical advice and insights. Provides a clear description of the risks faced by managers with equity, fixed income, commodity, credit and foreign exchange exposures Elaborates methods of quantifying these risks Discusses the various tools available for hedging, and how to choose optimal hedging instruments Illuminates hidden risks such as counterparty, operational, human behavior and model risks, and expounds the importance and instability of model assumptions, such as market correlations, and their attendant dangers Explains in clear yet effective terms the language of quantitative finance and enables a non-quantitative investment professional to communicate effectively with professional risk managers, "quants", clients and others Providing thorough coverage of asset modeling, hedging principles, hedging instruments, and practical portfolio management, Hedging Market Exposures helps portfolio managers, bankers, transactors and finance and accounting executives understand the risks their business faces and the ways to quantify and control them.

Deep Hedging Under Rough Volatility

Author : Blanka Nora Horvath
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Deep Hedging Under Rough Volatility by : Blanka Nora Horvath

Download or read book Deep Hedging Under Rough Volatility written by Blanka Nora Horvath and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Handbook of Formal Optimization

Author : Anand J. Kulkarni
Publisher : Springer Nature
ISBN 13 : 9819738202
Total Pages : 1406 pages
Book Rating : 4.8/5 (197 download)

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Book Synopsis Handbook of Formal Optimization by : Anand J. Kulkarni

Download or read book Handbook of Formal Optimization written by Anand J. Kulkarni and published by Springer Nature. This book was released on with total page 1406 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Deep Risk

Author : William J. Bernstein
Publisher :
ISBN 13 : 9780988780316
Total Pages : 56 pages
Book Rating : 4.7/5 (83 download)

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Book Synopsis Deep Risk by : William J. Bernstein

Download or read book Deep Risk written by William J. Bernstein and published by . This book was released on 2013-08 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This booklet takes portfolio design beyond the familiar "black box" mean-variance framework. Most importantly, the short-term volatility of financial assets, commonly measured as standard deviation, is a highly imperfect measure of the actual long-horizon perils faced by real-world investors subject to the vagaries of financial and military history. These risks have names--inflation, deflation, confiscation, and devastation--and any useful discussion of portfolio design of necessity incorporates their probabilities, consequences, and costs of mitigation ... This booklet contains ... with luck, a framework within income and all-equity portfolios. This booklet contains ... with luck, a framework within which to think more clearly about risk. Note: the entire Investing for Adults series is not for beginners.

Machine Learning in Finance

Author : Matthew F. Dixon
Publisher : Springer Nature
ISBN 13 : 3030410684
Total Pages : 565 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Machine Learning in Finance by : Matthew F. Dixon

Download or read book Machine Learning in Finance written by Matthew F. Dixon and published by Springer Nature. This book was released on 2020-07-01 with total page 565 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces machine learning methods in finance. It presents a unified treatment of machine learning and various statistical and computational disciplines in quantitative finance, such as financial econometrics and discrete time stochastic control, with an emphasis on how theory and hypothesis tests inform the choice of algorithm for financial data modeling and decision making. With the trend towards increasing computational resources and larger datasets, machine learning has grown into an important skillset for the finance industry. This book is written for advanced graduate students and academics in financial econometrics, mathematical finance and applied statistics, in addition to quants and data scientists in the field of quantitative finance. Machine Learning in Finance: From Theory to Practice is divided into three parts, each part covering theory and applications. The first presents supervised learning for cross-sectional data from both a Bayesian and frequentist perspective. The more advanced material places a firm emphasis on neural networks, including deep learning, as well as Gaussian processes, with examples in investment management and derivative modeling. The second part presents supervised learning for time series data, arguably the most common data type used in finance with examples in trading, stochastic volatility and fixed income modeling. Finally, the third part presents reinforcement learning and its applications in trading, investment and wealth management. Python code examples are provided to support the readers' understanding of the methodologies and applications. The book also includes more than 80 mathematical and programming exercises, with worked solutions available to instructors. As a bridge to research in this emergent field, the final chapter presents the frontiers of machine learning in finance from a researcher's perspective, highlighting how many well-known concepts in statistical physics are likely to emerge as important methodologies for machine learning in finance.

Artificial Intelligence in Finance

Author : Yves Hilpisch
Publisher : O'Reilly Media
ISBN 13 : 1492055409
Total Pages : 477 pages
Book Rating : 4.4/5 (92 download)

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Book Synopsis Artificial Intelligence in Finance by : Yves Hilpisch

Download or read book Artificial Intelligence in Finance written by Yves Hilpisch and published by O'Reilly Media. This book was released on 2020-10-14 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: The widespread adoption of AI and machine learning is revolutionizing many industries today. Once these technologies are combined with the programmatic availability of historical and real-time financial data, the financial industry will also change fundamentally. With this practical book, you'll learn how to use AI and machine learning to discover statistical inefficiencies in financial markets and exploit them through algorithmic trading. Author Yves Hilpisch shows practitioners, students, and academics in both finance and data science practical ways to apply machine learning and deep learning algorithms to finance. Thanks to lots of self-contained Python examples, you'll be able to replicate all results and figures presented in the book. In five parts, this guide helps you: Learn central notions and algorithms from AI, including recent breakthroughs on the way to artificial general intelligence (AGI) and superintelligence (SI) Understand why data-driven finance, AI, and machine learning will have a lasting impact on financial theory and practice Apply neural networks and reinforcement learning to discover statistical inefficiencies in financial markets Identify and exploit economic inefficiencies through backtesting and algorithmic trading--the automated execution of trading strategies Understand how AI will influence the competitive dynamics in the financial industry and what the potential emergence of a financial singularity might bring about

Advanced Portfolio Management

Author : Giuseppe A. Paleologo
Publisher : John Wiley & Sons
ISBN 13 : 1119789796
Total Pages : 215 pages
Book Rating : 4.1/5 (197 download)

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Book Synopsis Advanced Portfolio Management by : Giuseppe A. Paleologo

Download or read book Advanced Portfolio Management written by Giuseppe A. Paleologo and published by John Wiley & Sons. This book was released on 2021-08-10 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: You have great investment ideas. If you turn them into highly profitable portfolios, this book is for you. Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors is for fundamental equity analysts and portfolio managers, present, and future. Whatever stage you are at in your career, you have valuable investment ideas but always need knowledge to turn them into money. This book will introduce you to a framework for portfolio construction and risk management that is grounded in sound theory and tested by successful fundamental portfolio managers. The emphasis is on theory relevant to fundamental portfolio managers that works in practice, enabling you to convert ideas into a strategy portfolio that is both profitable and resilient. Intuition always comes first, and this book helps to lay out simple but effective "rules of thumb" that require little effort to implement and understand. At the same time, the book shows how to implement sophisticated techniques in order to meet the challenges a successful investor faces as his or her strategy grows in size and complexity. Advanced Portfolio Management also contains more advanced material and a quantitative appendix, which benefit quantitative researchers who are members of fundamental teams. You will learn how to: Separate stock-specific return drivers from the investment environment’s return drivers Understand current investment themes Size your cash positions based on Your investment ideas Understand your performance Measure and decompose risk Hedge the risk you don’t want Use diversification to your advantage Manage losses and control tail risk Set your leverage Author Giuseppe A. Paleologo has consulted, collaborated, taught, and drank strong wine with some of the best stock-pickers in the world; he has traded tens of billions of dollars hedging and optimizing their books and has helped them navigate through big drawdowns and even bigger recoveries. Whether or not you have access to risk models or advanced mathematical background, you will benefit from the techniques and the insights contained in the book—and won't find them covered anywhere else.

Trust and Hedging in International Relations

Author : Kendall Stiles
Publisher : University of Michigan Press
ISBN 13 : 0472130706
Total Pages : 319 pages
Book Rating : 4.4/5 (721 download)

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Book Synopsis Trust and Hedging in International Relations by : Kendall Stiles

Download or read book Trust and Hedging in International Relations written by Kendall Stiles and published by University of Michigan Press. This book was released on 2018-02-22 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revolutionary analysis of the risky role of trust in foreign policy through the assessment of European microstates and their partners

Extreme Value Hedging

Author : Ronald D. Orol
Publisher : John Wiley & Sons
ISBN 13 : 0470198915
Total Pages : 400 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Extreme Value Hedging by : Ronald D. Orol

Download or read book Extreme Value Hedging written by Ronald D. Orol and published by John Wiley & Sons. This book was released on 2008-01-18 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: Activist hedge fund managers represent a small part of the $1.5 trillion hedge fund industry, but their approach is causing a stir among traditional managers and the investment community because they are shaking up the corporate establishment and making money for their investors. These types of managers are here to stay and Extreme Value Hedging tells the story of their rise to power in the U.S. and how they are spreading their influential gospel around the globe to places like China, Ukraine, South Korea and Sweden. Author Ronald D. Orol has a unique understanding of this world and through this book he shares his unparalleled insights in an easy to comprehend manner. He discusses everything from activist investor efforts to breakup the clubby insider world of corporate boardrooms to their deal-making or breaking pressure tactics and courtroom battles. Orol skillfully makes his case for each subject by offering revelations and examples from insiders like Ralph Whitworth, (Relational Investors), Guy Wyser-Pratte, (Wyser-Pratte Management), Mark Schwarz, (Newcastle Capital Group LLC), Robert Chapman (Chapman Capital), Phillip Goldstein (Opportunity Partners), Jeffrey Ubben (ValueAct Capital), Jeffrey M. Solomon (Ramius Capital Group LLC), Michael Van Biema (Van Biema Value Partners), Eric Rosenfeld (Crescendo Partners), Lars Förberg (Cevian Capital) and Emanuel Pearlman (Liberation Investment Group), among many, many others.

Citrus Production Manual

Author : Louise Ferguson
Publisher : UCANR Publications
ISBN 13 : 1601078404
Total Pages : 443 pages
Book Rating : 4.6/5 (1 download)

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Book Synopsis Citrus Production Manual by : Louise Ferguson

Download or read book Citrus Production Manual written by Louise Ferguson and published by UCANR Publications. This book was released on 2014-04-09 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: Citrus production is complex, requiring a delicate balancing act during the growing season and lots of preparation. This new manual covers the many steps in the process in a clear and accessible way. This manual also details the latest horticultural and disease issues affecting citrus production. From deciding scion variety and rootstock, to establishing an orchard, to managing production, to postharvest handling, you'll find it all here in a readable format. Colorful photos and clear diagrams and illustrations guide you through important concepts. Chapters cover: History Botany and Physiology Orchard Establishment Pest and Disease Management Postharvest Handling

Proceedings of the First International Forum on Financial Mathematics and Financial Technology

Author : Zhiyong Zheng
Publisher : Springer Nature
ISBN 13 : 9811583730
Total Pages : 238 pages
Book Rating : 4.8/5 (115 download)

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Book Synopsis Proceedings of the First International Forum on Financial Mathematics and Financial Technology by : Zhiyong Zheng

Download or read book Proceedings of the First International Forum on Financial Mathematics and Financial Technology written by Zhiyong Zheng and published by Springer Nature. This book was released on 2021-02-08 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains high-quality papers presented at the First International Forum on Financial Mathematics and Financial Technology. With the rapid development of FinTech, the in-depth integration between mathematics, finance and advanced technology is the general trend. This book focuses on selected aspects of the current and upcoming trends in FinTech. In detail, the included scientific papers focus on financial mathematics and FinTech, presenting the innovative mathematical models and state-of-the-art technologies such as deep learning, with the aim to improve our financial analysis and decision-making and enhance the quality of financial services and risk control. The variety of the papers delivers added value for both scholars and practitioners where they will find perfect integration of elegant mathematical models and up-to-date data mining technologies in financial market analysis.