Ben Wood

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS
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Top 2,985

in Total Papers Downloads

17,581

SSRN CITATIONS
Rank 27,826

SSRN RANKINGS

Top 27,826

in Total Papers Citations

17

CROSSREF CITATIONS

15

Scholarly Papers (8)

1.

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

Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14 Posted: 30 May 2019 Last Revised: 08 Aug 2022
JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 6,850 (1,473)
Citation 20

Abstract:

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Reinforcement Learning, Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning

2.

Deep Hedging

Number of pages: 32 Posted: 20 Feb 2018 Last Revised: 08 Aug 2022
JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich and JP Morgan Chase
Downloads 2,970 (6,124)
Citation 7

Abstract:

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reinforcement learning, approximate dynamic programming, machine learning, market frictions, transaction costs, hedging, risk management, portfolio optimization

3.

Generating Financial Markets With Signatures

Number of pages: 9 Posted: 28 Aug 2020 Last Revised: 01 Jun 2021
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 2,174 (10,026)
Citation 2

Abstract:

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market generator, signatures, rough path theory, neural networks

4.

Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics

Number of pages: 19 Posted: 29 Mar 2021 Last Revised: 14 Jul 2021
JP Morgan, J.P. Morgan Chase & Co., Imperial College London - Department of Mathematics and JP Morgan Chase
Downloads 2,108 (10,548)
Citation 2

Abstract:

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Stochastic Implied Volatility, Deep Hedging, Minimal Entropy Martingale Measure, Statistical Arbitrage, Machine Learning, Deep Learning, Reinforcement Learning

5.

Deep Hedging: Learning to Simulate Equity Option Markets

Number of pages: 13 Posted: 14 Nov 2019
University of Kaiserslautern - Department of Mathematics, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 1,507 (17,871)
Citation 9

Abstract:

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volatility surface, generative modeling, generative adversarial networks, mathematical finance, time series, neural networks, options

6.

A Data-Driven Market Simulator for Small Data Environments

Number of pages: 12 Posted: 14 Jul 2020 Last Revised: 01 Jun 2021
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 790 (45,242)
Citation 4

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7.

Deep Bellman Hedging

Number of pages: 17 Posted: 13 Jul 2022 Last Revised: 18 Jul 2022
JP Morgan, J.P. Morgan Chase & Co. and JP Morgan Chase
Downloads 711 (52,068)

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Deep Hedging, Reinforcement Learning, Convex Risk Measures, Hedging

8.

Multi-Asset Spot and Option Market Simulation

Number of pages: 21 Posted: 05 Feb 2022
University of Kaiserslautern - Department of Mathematics, JP Morgan Chase, J.P. Morgan Chase & Co., University of Kaiserslautern - Department of Mathematics, JP Morgan, J.P. Morgan Chase & Co. and JP Morgan
Downloads 471 (87,409)

Abstract:

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volatility surface, generative modeling, mathematical finance, time series, neural networks, options, normalizing flows, multi-asset markets, generative adversarial networks, autoencoder, copulas, risk management, hedging