Ben Wood

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

6

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10,246

SSRN CITATIONS
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Top 27,855

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17

CROSSREF CITATIONS

16

Scholarly Papers (6)

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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
Hans Buehler, Lukas Gonon, Josef Teichmann, Ben Wood, Baranidharan Mohan and Jonathan Kochems
JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 5,161 (1,901)
Citation 19

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

2.

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, Ludwig-Maximilians-Universität München, ETH Zurich and JP Morgan Chase
Downloads 1,400 (16,847)
Citation 7

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

3.

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
Downloads 1,155 (22,460)
Citation 2

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

4.

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
University of Kaiserslautern - Department of Mathematics, JP Morgan, JP Morgan Chase and JP Morgan
Downloads 1,036 (26,294)
Citation 7

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

5.

Generating Financial Markets With Signatures

Number of pages: 9 Posted: 28 Aug 2020 Last Revised: 01 Jun 2021
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 1,007 (27,423)
Citation 2

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market generator, signatures, rough path theory, neural networks

6.

A Data-Driven Market Simulator for Small Data Environments

Number of pages: 12 Posted: 14 Jul 2020 Last Revised: 01 Jun 2021
Hans Buehler, Blanka Horvath, Terry Lyons, Imanol Perez Arribas and Ben Wood
JP Morgan, ETH Zürich - Department of Mathematics, affiliation not provided to SSRN, University of Oxford - Mathematical Institute and JP Morgan Chase
Downloads 487 (71,958)
Citation 3

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