Murray Phillip

affiliation not provided to SSRN

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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, affiliation not provided to SSRN, Imperial College London - Department of Mathematics and JP Morgan Chase
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Abstract:

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