Zissis Poulos

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 37,102

SSRN RANKINGS

Top 37,102

in Total Papers Downloads

2,523

SSRN CITATIONS

8

CROSSREF CITATIONS

0

Scholarly Papers (8)

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 607 (82,542)
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
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 593 (85,431)

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
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 501 (105,290)

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
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 349 (159,175)

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
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 202 (275,384)
Citation 2

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
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 162 (334,741)

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
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 109 (455,905)

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