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Jacky Chen

University of Toronto

105 St George Street

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 37,446

SSRN RANKINGS

Top 37,446

in Total Papers Downloads

3,379

TOTAL CITATIONS

22

Scholarly Papers (6)

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 1,058 (52,591)
Citation 15

Abstract:

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options, implied volatility movements, neural networks, deep learning

2.

Deep Learning for Exotic Option Valuation

Number of pages: 19 Posted: 09 Mar 2021 Last Revised: 10 Jan 2022
University of Toronto, University of Toronto, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 708 (90,336)
Citation 4

Abstract:

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Exotic options, volatility surfaces, neural networks

3.

Hedging Barrier Options Using Reinforcement Learning

Number of pages: 18 Posted: 09 Sep 2023
University of Toronto, affiliation not provided to SSRN, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto
Downloads 687 (94,372)

Abstract:

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Exotic option, hedging, reinforcement learning

4.

A Variational Autoencoder Approach to Conditional Generation of Possible Future Volatility Surfaces

Number of pages: 31 Posted: 29 Nov 2023
University of Toronto, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto, University of Toronto and University of Toronto
Downloads 624 (106,593)

Abstract:

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Implied volatility surfaces, variational autoencoders, long short-term memory

5.

Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning

Number of pages: 11 Posted: 08 Aug 2022 Last Revised: 21 Mar 2023
University of Toronto, University of Toronto, University of Toronto, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto
Downloads 302 (252,268)
Citation 3

Abstract:

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derivatives trading, hedging, gamma, vega, reinforcement learning

6.

Deep Hedging of Derivatives Using Reinforcement Learning

Posted: 27 Jan 2020 Last Revised: 06 Feb 2021
University of Toronto, University of Toronto, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management

Abstract:

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Deep hedging, derivatives, reinforcement learning