Ben Wood

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

8

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Top 2,459

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26,127

TOTAL CITATIONS
Rank 19,198

SSRN RANKINGS

Top 19,198

in Total Papers Citations

109

Scholarly Papers (8)

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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
Hans Buehler, Lukas Gonon, Josef Teichmann, Ben Wood, Baranidharan Mohan and Jonathan Kochems
XTX Markets, Ludwig Maximilian University of Munich (LMU), ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 8,762 (1,437)
Citation 38

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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
Hans Buehler, Lukas Gonon, Josef Teichmann and Ben Wood
XTX Markets, Ludwig Maximilian University of Munich (LMU), ETH Zurich and JP Morgan Chase
Downloads 5,076 (3,624)
Citation 7

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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
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
XTX Markets, Mathematical Institute, University of Oxford and Oxford Man Institute, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 3,573 (6,522)
Citation 2

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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: 02 Feb 2023
Hans Buehler, Murray Phillip, Mikko Pakkanen and Ben Wood
XTX Markets, J.P. Morgan Chase & Co., Imperial College London - Department of Mathematics and JP Morgan Chase
Downloads 2,516 (11,389)
Citation 2

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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
Magnus Wiese, Lianjun Bai, Ben Wood and Hans Buehler
University of Kaiserslautern - Department of Mathematics, JP Morgan, JP Morgan Chase and XTX Markets
Downloads 2,245 (13,660)
Citation 30

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

6.

Deep Bellman Hedging

Number of pages: 18 Posted: 13 Jul 2022 Last Revised: 02 Jan 2023
Hans Buehler, Murray Phillip and Ben Wood
XTX Markets, J.P. Morgan Chase & Co. and JP Morgan Chase
Downloads 2,137 (14,779)
Citation 3

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Deep Hedging, Reinforcement Learning, Convex Risk Measures, Hedging

7.

A Data-Driven Market Simulator for Small Data Environments

Number of pages: 12 Posted: 14 Jul 2020 Last Revised: 01 Jun 2021
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
XTX Markets, Mathematical Institute, University of Oxford and Oxford Man Institute, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 1,176 (36,554)
Citation 20

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8.

Multi-Asset Spot and Option Market Simulation

Number of pages: 21 Posted: 05 Feb 2022
Magnus Wiese, Ben Wood, Alexandre Pachoud, Ralf Korn, Hans Buehler, Murray Phillip and Lianjun Bai
University of Kaiserslautern - Department of Mathematics, JP Morgan Chase, J.P. Morgan Chase & Co., University of Kaiserslautern - Department of Mathematics, XTX Markets, J.P. Morgan Chase & Co. and JP Morgan
Downloads 642 (83,191)
Citation 7

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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