c/o University of Geneva
40 Bd du Pont-d'Arve
CH-1211 Geneva 4
Swiss Finance Institute
Reinforcement Learning, Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning
reinforcement learning, approximate dynamic programming, machine learning, market frictions, transaction costs, hedging, risk management, portfolio optimization
Implied Volatility, Local Volatility, Stochastic Volatility, Volatility Surface, most-likely path
SABR model, time change, asymptotics, semigroups, Feller property, Dirichlet forms
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File name: MAFI.pdf
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term structure, interest rate, consistent re‐calibration, yield curve, Hull‐White extension
File name: j-9965.pdf
LIBOR rate models, forward price models, affine processes, analytically tractable models
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