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Zissis Poulos

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

  • University of Toronto - Rotman School of Management

SCHOLARLY PAPERS

8

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Rank 40,922

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Top 40,922

in Total Papers Downloads

3,094

TOTAL CITATIONS

7

Scholarly Papers (8)

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1.

Deep Learning for Exotic Option Valuation

Number of pages: 19 Posted: 09 Mar 2021 Last Revised: 10 Jan 2022
Jay Cao, Jacky Chen, John C. Hull and Zissis Poulos
University of Toronto, University of Toronto, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 710 (90,336)
Citation 4

Abstract:

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Exotic options, volatility surfaces, neural networks

2.

Hedging Barrier Options Using Reinforcement Learning

Number of pages: 18 Posted: 09 Sep 2023
Jacky Chen, Yu Fu, John C. Hull, Zissis Poulos, Zeyu Wang and Jun Yuan
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 691 (94,372)

Abstract:

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Exotic option, hedging, reinforcement learning

3.

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

Number of pages: 31 Posted: 29 Nov 2023
Jacky Chen, John C. Hull, Zissis Poulos, Haris Rasul, Andreas Veneris and Yuntao Wu
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 625 (106,593)

Abstract:

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

4.

Variational Autoencoders: A Hands-Off Approach to Volatility

Number of pages: 28 Posted: 19 Apr 2021
Maxime Bergeron, Nicholas Fung, Zissis Poulos, John C. Hull and Andreas Veneris
Riskfuel Analytics, University of Toronto - The Edward S. Rogers Sr. Department of Electrical and Computer Engineering, University of Toronto - Rotman School of Management, University of Toronto - Rotman School of Management and University of Toronto
Downloads 436 (166,552)

Abstract:

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Derivatives; Unsupervised learning; Variational autoencoders

5.

Gamma and Vega Hedging Using Deep Distributional Reinforcement Learning

Number of pages: 11 Posted: 08 Aug 2022 Last Revised: 21 Mar 2023
Jay Cao, Jacky Chen, Soroush Farghadani, John C. Hull, Zissis Poulos, Zeyu Wang and Jun Yuan
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 305 (252,268)
Citation 3

Abstract:

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derivatives trading, hedging, gamma, vega, reinforcement learning

6.

Forecasting Using Text-Based Uncertainty Measures

Number of pages: 31 Posted: 29 Nov 2023
Kevin Benson, John C. Hull, Yoshio Nozawa, Zissis Poulos, Vasily Strela and Yuntao Wu
Royal Bank of Canada, University of Toronto - Rotman School of Management, University of Toronto, University of Toronto - Rotman School of Management, Royal Bank of Canada and University of Toronto
Downloads 197 (387,924)

Abstract:

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commodities, inflation, narrative uncertainty, machine learning, natural language processing

7.

Narrative Monetary Policy Uncertainty

Number of pages: 27 Posted: 12 Oct 2023
Charles Martineau, Zissis Poulos, Yuntao Wu, Cameron Thompson, Maryam Haghighi, Jun Yuan and John C. Hull
University of Toronto - Rotman School of Management and UTSC Management, University of Toronto - Rotman School of Management, University of Toronto, University of Toronto, Government of Canada - Bank of Canada, University of Toronto and University of Toronto - Rotman School of Management
Downloads 130 (561,789)

Abstract:

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monetary policy uncertainty, risk premia, central bank communication, machine learning, natural language processing

8.

Deep Hedging of Derivatives Using Reinforcement Learning

Posted: 27 Jan 2020 Last Revised: 06 Feb 2021
Jay Cao, Jacky Chen, John C. Hull and Zissis Poulos
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