Carlos Octavio Pérez Mendoza

Concordia University

Graduate Student

SCHOLARLY PAPERS

2

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208

TOTAL CITATIONS

0

Scholarly Papers (2)

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1.

Is the Difference between Deep Hedging and Delta Hedging a Statistical Arbitrage?

Number of pages: 15 Posted: 31 Jul 2024 Last Revised: 21 Oct 2024
Pascal Francois, Geneviève Gauthier, Frédéric Godin and Carlos Octavio Pérez Mendoza
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, Concordia University, Quebec - Department of Mathematics & Statistics and Concordia University
Downloads 143 (402,731)

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Deep reinforcement learning, optimal hedging, arbitrage

2.

Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information

Number of pages: 47 Posted: 13 Aug 2024
Pascal Francois, Geneviève Gauthier, Frédéric Godin and Carlos Octavio Pérez Mendoza
HEC Montreal - Department of Finance, Department of decision Sciences and GERADaffiliation not provided to SSRN, Concordia University, Quebec - Department of Mathematics & Statistics and Concordia University
Downloads 65 (675,601)

Abstract:

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Deep reinforcement learning, Optimal hedging, Implied volatility surfaces