Zissis Poulos

University of Toronto - Rotman School of Management

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

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Scholarly Papers (1)

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Deep Hedging of Derivatives Using Reinforcement Learning

Number of pages: 21 Posted: 27 Jan 2020 Last Revised: 21 May 2020
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
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Abstract:

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Deep hedging, derivatives, reinforcement learning