Lukas Gonon

Ludwig-Maximilians-Universität München

SCHOLARLY PAPERS

3

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13

Scholarly Papers (3)

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:

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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
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.

Asset Pricing with General Transaction Costs: Theory and Numerics

Number of pages: 45 Posted: 03 Jun 2019 Last Revised: 16 Apr 2020
Ludwig-Maximilians-Universität München, Imperial College London - Department of Mathematics and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 88 (349,392)
Citation 4

Abstract:

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Radner equilibrium, transaction costs, forward-backward SDEs, deep learning