Josef Teichmann

ETH Zurich

Professor

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

http://www.math.ethz.ch/~jteichma

Swiss Finance Institute

c/o University of Geneva

40 Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

6

DOWNLOADS

14,971

SSRN CITATIONS

39

CROSSREF CITATIONS

14

Scholarly Papers (6)

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
XTX Markets, Ludwig Maximilian University of Munich (LMU), ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 8,513 (1,432)
Citation 37

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: 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 4,786 (3,786)
Citation 7

Abstract:

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

3.

Deep Hedging under Rough Volatility

Swiss Finance Institute Research Paper No. 21-88
Number of pages: 27 Posted: 18 Feb 2021 Last Revised: 07 Dec 2021
Blanka Horvath, Josef Teichmann and Zan Zuric
Mathematical Institute, University of Oxford and Oxford Man Institute, ETH Zurich and Kaiju Capital Management
Downloads 1,205 (33,616)
Citation 8

Abstract:

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Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning, Rough Volatility

4.

Randomized Signature Methods in Optimal Portfolio Selection

Number of pages: 38 Posted: 17 Jan 2024
University of Bradford, INAIT SA, ETH Zurich and ETH
Downloads 267 (216,712)

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Machine Learning, Randomized Signature, Drift estimation, Returns forecast, Portfolio Optimization, Path-dependent Signal

5.

A Remark on Gatheral's 'Most-Likely Path Approximation' of Implied Volatility

Number of pages: 4 Posted: 03 Nov 2009
Martin Keller-Ressel and Josef Teichmann
Dresden University of Technology - Department of Mathematics and ETH Zurich
Downloads 150 (367,020)
Citation 2

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Implied Volatility, Local Volatility, Stochastic Volatility, Volatility Surface, most-likely path

6.

Functional Analytic (Ir-)Regularity Properties of SABR-type Processes

Number of pages: 33 Posted: 10 Jan 2017
Leif Döring, Blanka Horvath and Josef Teichmann
University of Mannheim - School of Mathematics and Computer Science, Mathematical Institute, University of Oxford and Oxford Man Institute and ETH Zurich
Downloads 50 (726,769)
Citation 1

Abstract:

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SABR model, time change, asymptotics, semigroups, Feller property, Dirichlet forms