Rämistrasse 101
ZUE F7
Zürich, 8092
Switzerland
http://www.math.ethz.ch/~jteichma
c/o University of Geneva
40 Bd du Pont-d'Arve
CH-1211 Geneva 4
ETH Zurich
Swiss Finance Institute
Reinforcement Learning, Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning
reinforcement learning, approximate dynamic programming, machine learning, market frictions, transaction costs, hedging, risk management, portfolio optimization
Imperfect Hedging, Derivatives Pricing, Derivatives Hedging, Deep Learning, Rough Volatility
Implied Volatility, Local Volatility, Stochastic Volatility, Volatility Surface, most-likely path
SABR model, time change, asymptotics, semigroups, Feller property, Dirichlet forms
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: MAFI.pdf Size: 0K
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term structure, interest rate, consistent re‐calibration, yield curve, Hull‐White extension
File name: j-9965.pdf Size: 377K
LIBOR rate models, forward price models, affine processes, analytically tractable models
