Ben Wood

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 5,077

SSRN RANKINGS

Top 5,077

in Total Papers Downloads

10,246

SSRN CITATIONS
Rank 27,855

SSRN RANKINGS

Top 27,855

in Total Papers Citations

17

CROSSREF CITATIONS

16

Scholarly Papers (6)

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, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 5,161 (1,901)
Citation 19

Abstract:

Loading...

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

Abstract:

Loading...

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
JP Morgan, affiliation not provided to SSRN, Imperial College London - Department of Mathematics and JP Morgan Chase
Downloads 1,155 (22,460)
Citation 2

Abstract:

Loading...

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

Abstract:

Loading...

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
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

Abstract:

Loading...

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
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

Abstract:

Loading...