Lukas Gonon

ETH Zurich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 19,035

SSRN RANKINGS

Top 19,035

in Total Papers Downloads

2,527

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (3)

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 1,769 (8,908)
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 727 (34,059)
Citation 5

Abstract:

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

3.

Asset Pricing with General Transaction Costs: Theory and Numerics

Number of pages: 38 Posted: 03 Jun 2019 Last Revised: 09 Jun 2019
ETH Zurich, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 31 (462,736)

Abstract:

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Radner equilibrium, transaction costs, forward-backward SDEs, deep learning