Hans Buehler

JP Morgan

London

United Kingdom

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 4,501

SSRN RANKINGS

Top 4,501

in Total Papers Downloads

9,394

CITATIONS
Rank 14,936

SSRN RANKINGS

Top 14,936

in Total Papers Citations

24

Scholarly Papers (13)

1.

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 1,985 (7,026)
Citation 4

Abstract:

Loading...

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

2.

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 1,549 (10,646)
Citation 4

Abstract:

Loading...

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

3.

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 1,247 (15,005)

Abstract:

Loading...

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

4.

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 977 (21,677)

Abstract:

Loading...

Finance theory, Black-Scholes, Hedging, Variance Swaps

5.

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 718 (33,474)
Citation 12

Abstract:

Loading...

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

6.
Downloads 643

Abstract:

Loading...

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

7.

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 527 (50,277)

Abstract:

Loading...

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

8.

Deep Hedging

Number of pages: 32 Posted: 20 Feb 2018 Last Revised: 31 Mar 2019
Hans Buehler, Lukas Gonon, Josef Teichmann and Ben Wood
JP Morgan, ETH Zurich, ETH Zurich and JP Morgan Chase
Downloads 461 (59,530)

Abstract:

Loading...

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

9.
Downloads 394 ( 71,858)
Citation 4

Expensive Martingales

Quantitative Finance, Vol. 6, No. 3, June 2006
Number of pages: 25 Posted: 07 Jun 2008
Hans Buehler
JP Morgan
Downloads 282 (104,172)
Citation 4

Abstract:

Loading...

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 112 (239,677)
Citation 4

Abstract:

Loading...

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

10.

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 290 (101,624)

Abstract:

Loading...

Equity Derivatives, Implied Dividends, Stochastic Dividends, Cash Dividends

11.

Delta-Hedging Works: On Market Completeness in Diffusion Models

Number of pages: 20 Posted: 31 Aug 2009 Last Revised: 26 Jun 2016
Hans Buehler
JP Morgan
Downloads 255 (116,412)

Abstract:

Loading...

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

12.

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 229 (129,729)

Abstract:

Loading...

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

13.

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 119 (228,138)

Abstract:

Loading...

Brownian Filtrations, Independent Increments, Equivalent Information