Lukas Gonon

Ludwig Maximilian University of Munich (LMU)

SCHOLARLY PAPERS

3

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TOTAL CITATIONS
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Top 23,070

in Total Papers Citations

51

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: 08 Aug 2022
XTX Markets, Ludwig Maximilian University of Munich (LMU), ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 8,915 (1,426)
Citation 40

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
XTX Markets, Ludwig Maximilian University of Munich (LMU), ETH Zurich and JP Morgan Chase
Downloads 5,328 (3,451)
Citation 7

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: 45 Posted: 03 Jun 2019 Last Revised: 16 Apr 2020
Ludwig Maximilian University of Munich (LMU), Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 157 (387,984)
Citation 4

Abstract:

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