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Found 9 papers, 3 papers with code
Deep Hedging with Market Impact
Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability.
Linear pretraining in recurrent mixture density networks
The pretraining method helps the RMDN avoid bad local minima during training and improves its robustness to the persistent NaN problem, as defined by Guillaumes [2017], which is often encountered with mixture density networks.
Risk averse non-stationary multi-armed bandits
Simulation experiments assess the performance of the arm selection algorithms based on the two novel estimation approaches, and such policies are shown to outperform naive benchmarks not taking non-stationarity into account.
Deep equal risk pricing of financial derivatives with non-translation invariant risk measures
The use of non-translation invariant risk measures within the equal risk pricing (ERP) methodology for the valuation of financial derivatives is investigated.
Bias-Corrected Peaks-Over-Threshold Estimation of the CVaR
To mitigate this problem, the CVaR can be estimated by extrapolating above a lower threshold than the VaR using a generalized Pareto distribution (GPD), which is often referred to as the peaks-over-threshold (POT) approach.
Deep Equal Risk Pricing of Financial Derivatives with Multiple Hedging Instruments
This paper studies the equal risk pricing (ERP) framework for the valuation of European financial derivatives.
Modeling and measuring incurred claims risk liabilities for a multi-line property and casualty insurer
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements.
Equal Risk Pricing of Derivatives with Deep Hedging
The current paper also presents a general and tractable implementation for the equal risk pricing framework inspired by the deep hedging algorithm of Buehler et al. (2019).
Computational Finance Mathematical Finance Pricing of Securities Risk Management 91G20 (Primary) 91G70, 91G60 (Secondary)
Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR
To mitigate this problem, extreme value theory can be used to derive an estimator for the CVaR that uses extrapolation beyond available samples.
