Jay Cao

University of Toronto

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

2

DOWNLOADS

287

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

A Neural Network Approach to Understanding Implied Volatility Movements

Number of pages: 29 Posted: 12 Dec 2018 Last Revised: 13 Apr 2020
Jay Cao, Jacky Chen and John C. Hull
University of Toronto, University of Toronto and University of Toronto - Rotman School of Management
Downloads 213 (153,766)
Citation 3

Abstract:

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options, implied volatility movements, neural networks, deep learning

2.

Deep Hedging of Derivatives Using Reinforcement Learning

Number of pages: 21 Posted: 27 Jan 2020 Last Revised: 21 May 2020
University of Toronto, University of Toronto, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 74 (341,576)

Abstract:

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Deep hedging, derivatives, reinforcement learning