Ben Wood

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS
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Top 12,285

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3,987

SSRN CITATIONS
Rank 42,050

SSRN RANKINGS

Top 42,050

in Total Papers Citations

7

CROSSREF CITATIONS

6

Scholarly Papers (3)

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: 02 Jan 2020
JP Morgan, ETH Zürich, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 2,586 (4,900)
Citation 6

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: 28 Apr 2019
JP Morgan, ETH Zürich, ETH Zurich and JP Morgan Chase
Downloads 904 (25,983)
Citation 6

Abstract:

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

3.

Deep Hedging: Learning to Simulate Equity Option Markets

Number of pages: 13 Posted: 14 Nov 2019
JP Morgan, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 497 (57,999)
Citation 2

Abstract:

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