Ben Wood

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 19,373

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Top 19,373

in Total Papers Downloads

2,474

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

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

Number of pages: 12 Posted: 30 May 2019
JP Morgan, ETH Zurich, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 1,752 (9,022)
Citation 2

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 Zurich, ETH Zurich and JP Morgan Chase
Downloads 722 (34,236)
Citation 5

Abstract:

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