Ben Wood

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 9,937

SSRN RANKINGS

Top 9,937

in Total Papers Downloads

5,091

SSRN CITATIONS
Rank 36,015

SSRN RANKINGS

Top 36,015

in Total Papers Citations

7

CROSSREF CITATIONS

12

Scholarly Papers (4)

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, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 3,347 (3,403)
Citation 8

Abstract:

Loading...

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, Ludwig-Maximilians-Universität München, ETH Zurich and JP Morgan Chase
Downloads 1,049 (22,208)
Citation 8

Abstract:

Loading...

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
University of Kaiserslautern - Department of Mathematics, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 666 (42,008)
Citation 4

Abstract:

Loading...

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

4.

A Data-Driven Market Simulator for Small Data Environments

Number of pages: 27 Posted: 14 Jul 2020
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 29

Abstract:

Loading...