Hans Buehler

JP Morgan

London

United Kingdom

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 2,712

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Top 2,712

in Total Papers Downloads

13,735

SSRN CITATIONS
Rank 11,721

SSRN RANKINGS

Top 11,721

in Total Papers Citations

15

CROSSREF CITATIONS

70

Scholarly Papers (15)

1.

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14 Posted: 30 May 2019 Last Revised: 02 Jan 2020
JP Morgan, ETH Zürich, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 2,878 (4,217)
Citation 7

Abstract:

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Reinforcement Learning, Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning

2.

Volatility and Dividends - Volatility Modelling with Cash Dividends and Simple Credit Risk

Number of pages: 37 Posted: 07 Jun 2008 Last Revised: 16 Nov 2010
Hans Buehler
JP Morgan
Downloads 2,212 (6,504)
Citation 19

Abstract:

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Cash Dividends, Dividends, Volatility, Implied Volatility, Variance Swaps, PDE, Credit Risk, Hazard Rate, Black Scholes, Affine Dividends

3.

Volatility Markets: Consistent Modelling, Hedging and Practical Implementation (Dissertation)

Number of pages: 181 Posted: 09 Apr 2008 Last Revised: 13 Nov 2010
Hans Buehler
JP Morgan
Downloads 1,613 (11,068)
Citation 12

Abstract:

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Variance Swaps, Consistent Variance Curve, Hedging, Complete Market, Gamma Swaps, Fitted Heston

4.

Stochastic Proportional Dividends

Number of pages: 22 Posted: 12 Nov 2010 Last Revised: 19 Nov 2018
JP Morgan, JP Morgan Chase and JPMorgan Chase
Downloads 1,323 (15,094)
Citation 7

Abstract:

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Options on Dividends, Stochastic Dividends, Dividend Yield, Dividend-Linked Derivatives

5.

Recent Developments in Mathematical Finance: A Practitioner's Point of View

Number of pages: 21 Posted: 01 Jun 2006
Deutsche Bank AG, Deutsche Bank AG, JP Morgan, Deutsche Bank AG, Deutsche Bank AG, Deutsche Bank AG and Deutsche Bank AG
Downloads 1,014 (22,478)
Citation 1

Abstract:

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Finance theory, Black-Scholes, Hedging, Variance Swaps

6.

Deep Hedging

Number of pages: 32 Posted: 20 Feb 2018 Last Revised: 28 Apr 2019
Hans Buehler, Lukas Gonon, Josef Teichmann and Ben Wood
JP Morgan, ETH Zürich, ETH Zurich and JP Morgan Chase
Downloads 972 (23,918)
Citation 8

Abstract:

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reinforcement learning, approximate dynamic programming, machine learning, market frictions, transaction costs, hedging, risk management, portfolio optimization

7.

Consistent Variance Curve Models

Finance Stochastics, Vol. 10, No. 2, 2006
Number of pages: 21 Posted: 10 Apr 2005 Last Revised: 17 Feb 2009
Hans Buehler
JP Morgan
Downloads 743 (34,896)
Citation 1

Abstract:

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Variance Swaps, Stochastic Volatility, HJM, Term Structure Models, Markov, Heston, Mean-Reversion, Fitted Heston

8.

Discrete Local Volatility for Large Time Steps (Extended Version)

Number of pages: 51 Posted: 13 Aug 2015 Last Revised: 23 Mar 2019
Hans Buehler and Evgeny Ryskin
JP Morgan and JP Morgan Chase
Downloads 622 (44,354)

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Implied Volatility, Arbitrage-Free Fitting, Expensive Martingales, Large Step Monte-Carlo, Discrete Pricing

9.

Deep Hedging: Learning to Simulate Equity Option Markets

Number of pages: 13 Posted: 14 Nov 2019
Magnus Wiese, Lianjun Bai, Ben Wood and Hans Buehler
JP Morgan, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 553 (51,552)
Citation 3

Abstract:

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volatility surface, generative modeling, generative adversarial networks, mathematical finance, time series, neural networks, options

10.
Downloads 410 ( 74,725)
Citation 7

Expensive Martingales

Quantitative Finance, Vol. 6, No. 3, June 2006
Number of pages: 25 Posted: 07 Jun 2008
Hans Buehler
JP Morgan
Downloads 291 (109,285)

Abstract:

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Marginals, Martingale, Transition Probability, Balayage, Linear Programming, Discrete Pricing, Measures, Forward Started Options, European Options

Expensive Martingales

Number of pages: 25 Posted: 10 Apr 2005
Hans Buehler
JP Morgan
Downloads 119 (247,498)
Citation 3

Abstract:

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Marginals, Martingale, Transition Probability, Balayage, Linear Programming, Discrete Pricing, Measures, Forward Started Options, European Options

11.

Volatility and Dividends II: Consistent Cash Dividends

Number of pages: 18 Posted: 05 Aug 2015 Last Revised: 19 Nov 2018
Hans Buehler
JP Morgan
Downloads 381 (81,259)
Citation 4

Abstract:

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Equity Derivatives, Implied Dividends, Stochastic Dividends, Cash Dividends

12.

Statistical Hedging

Number of pages: 29 Posted: 08 Feb 2017 Last Revised: 08 May 2019
Hans Buehler
JP Morgan
Downloads 344 (91,409)

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Portfolio Optimization for Derivatives, Incomplete Market, Convex Risk Measure, Quadratic CVaR

13.

Discrete Local Volatility for Large Time Steps (Short Version)

Number of pages: 16 Posted: 25 May 2016 Last Revised: 19 Nov 2018
Hans Buehler and Evgeny Ryskin
JP Morgan and JP Morgan Chase
Downloads 277 (115,780)
Citation 2

Abstract:

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Discrete Local Volatility, Discrete Martingale, Markov Margingale, Implied Volatility, Arbitrage-Free

14.

Delta-Hedging Works: On Market Completeness in Diffusion Models

Number of pages: 22 Posted: 31 Aug 2009 Last Revised: 09 Jul 2019
Hans Buehler
JP Morgan
Downloads 271 (118,390)

Abstract:

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Complete Market, Diffusion, Predictable Representation Property, Extremal Martingale, Second Fundamental Theorem of Asset Pricing, Replication, Delta-Hedging

15.

Information-Equivalence: On Filtrations Created by Independent Increments

Number of pages: 10 Posted: 01 Jun 2006 Last Revised: 05 Jan 2009
Hans Buehler
JP Morgan
Downloads 122 (241,802)

Abstract:

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Brownian Filtrations, Independent Increments, Equivalent Information