Jonathan Kochems

JP Morgan

London

United Kingdom

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Scholarly Papers (1)

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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
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Abstract:

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Reinforcement Learning, Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning