Murray Phillip

J.P. Morgan Chase & Co.

60 Wall St.

New York, NY 10260

United States

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 19,968

SSRN RANKINGS

Top 19,968

in Total Papers Downloads

3,693

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics

Number of pages: 19 Posted: 29 Mar 2021 Last Revised: 14 Jul 2021
Hans Buehler, Murray Phillip, Mikko Pakkanen and Ben Wood
JP Morgan, J.P. Morgan Chase & Co., Imperial College London - Department of Mathematics and JP Morgan Chase
Downloads 2,114 (10,530)
Citation 2

Abstract:

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Stochastic Implied Volatility, Deep Hedging, Minimal Entropy Martingale Measure, Statistical Arbitrage, Machine Learning, Deep Learning, Reinforcement Learning

2.

Deep Bellman Hedging

Number of pages: 17 Posted: 13 Jul 2022 Last Revised: 18 Jul 2022
Hans Buehler, Murray Phillip and Ben Wood
JP Morgan, J.P. Morgan Chase & Co. and JP Morgan Chase
Downloads 727 (50,748)

Abstract:

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Deep Hedging, Reinforcement Learning, Convex Risk Measures, Hedging

3.

Multi-Asset Spot and Option Market Simulation

Number of pages: 21 Posted: 05 Feb 2022
University of Kaiserslautern - Department of Mathematics, JP Morgan Chase, J.P. Morgan Chase & Co., University of Kaiserslautern - Department of Mathematics, JP Morgan, J.P. Morgan Chase & Co. and JP Morgan
Downloads 471 (87,602)

Abstract:

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volatility surface, generative modeling, mathematical finance, time series, neural networks, options, normalizing flows, multi-asset markets, generative adversarial networks, autoencoder, copulas, risk management, hedging

4.

Risk-Neutral Market Simulation

Number of pages: 8 Posted: 03 Feb 2022
Magnus Wiese and Murray Phillip
University of Kaiserslautern - Department of Mathematics and J.P. Morgan Chase & Co.
Downloads 381 (112,028)

Abstract:

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minimal entropy martingale measure, market simulation, statistical arbitrage, machine learning, deep learning, neural networks, normalizing flows