Lukas Gonon

ETH Zürich

Rämistrasse 101

ZUE F7

Zürich, 8092

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 12,867

SSRN RANKINGS

Top 12,867

in Total Papers Downloads

3,911

SSRN CITATIONS
Rank 36,670

SSRN RANKINGS

Top 36,670

in Total Papers Citations

12

CROSSREF CITATIONS

5

Scholarly Papers (3)

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, ETH Zürich, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 2,895 (4,194)
Citation 7

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 Zürich, ETH Zurich and JP Morgan Chase
Downloads 976 (23,886)
Citation 8

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 Zürich, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 40 (445,796)
Citation 1

Abstract:

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