Hans Buehler

JP Morgan

4/F, 25 Bank Street

London, E14 5JP

United Kingdom

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 1,833

SSRN RANKINGS

Top 1,833

in Total Papers Downloads

21,188

SSRN CITATIONS
Rank 11,513

SSRN RANKINGS

Top 11,513

in Total Papers Citations

23

CROSSREF CITATIONS

84

Ideas:
“  Automation, Analytics, Optimization for Sales and Trading. Reinforcement Learning "AI" for finance and in the presence of non-stationary noise, i.e. real life.  ”

Scholarly Papers (18)

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 5,164 (1,899)
Citation 19

Abstract:

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

2.

Volatility and Dividends - Volatility Modelling with Cash Dividends and Simple Credit Risk

Number of pages: 37 Posted: 07 Jun 2008 Last Revised: 16 Nov 2010
Hans Buehler
JP Morgan
Downloads 2,709 (5,820)
Citation 21

Abstract:

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Cash Dividends, Dividends, Volatility, Implied Volatility, Variance Swaps, PDE, Credit Risk, Hazard Rate, Black Scholes, Affine Dividends

3.

Volatility Markets: Consistent Modelling, Hedging and Practical Implementation (Dissertation)

Number of pages: 181 Posted: 09 Apr 2008 Last Revised: 13 Nov 2010
Hans Buehler
JP Morgan
Downloads 1,721 (12,162)
Citation 13

Abstract:

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Variance Swaps, Consistent Variance Curve, Hedging, Complete Market, Gamma Swaps, Fitted Heston

4.

Stochastic Proportional Dividends

Number of pages: 22 Posted: 12 Nov 2010 Last Revised: 19 Nov 2018
JP Morgan, JP Morgan Chase and JPMorgan Chase
Downloads 1,444 (16,048)
Citation 6

Abstract:

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Options on Dividends, Stochastic Dividends, Dividend Yield, Dividend-Linked Derivatives

5.

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 1,402 (16,810)
Citation 7

Abstract:

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

6.

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 1,156 (22,441)
Citation 2

Abstract:

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

7.

Recent Developments in Mathematical Finance: A Practitioner's Point of View

Number of pages: 21 Posted: 01 Jun 2006
Deutsche Bank AG, Deutsche Bank AG, JP Morgan, Deutsche Bank AG, Deutsche Bank AG, Deutsche Bank AG and Deutsche Bank AG
Downloads 1,068 (25,195)
Citation 1

Abstract:

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Finance theory, Black-Scholes, Hedging, Variance Swaps

8.

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 (26,309)
Citation 7

Abstract:

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

9.

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 1,008 (27,400)
Citation 2

Abstract:

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market generator, signatures, rough path theory, neural networks

10.

Discrete Local Volatility for Large Time Steps (Extended Version)

Number of pages: 34 Posted: 13 Aug 2015 Last Revised: 18 May 2020
Hans Buehler and Evgeny Ryskin
JP Morgan and JP Morgan Chase
Downloads 843 (35,230)

Abstract:

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Implied Volatility, Arbitrage-Free Fitting, Expensive Martingales, Large Step Monte-Carlo, Discrete Pricing

11.

Consistent Variance Curve Models

Finance Stochastics, Vol. 10, No. 2, 2006
Number of pages: 21 Posted: 10 Apr 2005 Last Revised: 17 Feb 2009
Hans Buehler
JP Morgan
Downloads 772 (39,762)
Citation 2

Abstract:

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Variance Swaps, Stochastic Volatility, HJM, Term Structure Models, Markov, Heston, Mean-Reversion, Fitted Heston

12.

Volatility and Dividends II: Consistent Cash Dividends

Number of pages: 18 Posted: 05 Aug 2015 Last Revised: 19 Nov 2018
Hans Buehler
JP Morgan
Downloads 612 (54,166)
Citation 6

Abstract:

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Equity Derivatives, Implied Dividends, Stochastic Dividends, Cash Dividends

13.

Statistical Hedging

Number of pages: 29 Posted: 08 Feb 2017 Last Revised: 08 May 2019
Hans Buehler
JP Morgan
Downloads 509 (68,152)

Abstract:

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Portfolio Optimization for Derivatives, Incomplete Market, Convex Risk Measure, Quadratic CVaR

14.

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 (71,992)
Citation 3

Abstract:

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15.
Downloads 443 ( 80,675)
Citation 7

Expensive Martingales

Quantitative Finance, Vol. 6, No. 3, June 2006
Number of pages: 25 Posted: 07 Jun 2008
Hans Buehler
JP Morgan
Downloads 318 (116,940)

Abstract:

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Marginals, Martingale, Transition Probability, Balayage, Linear Programming, Discrete Pricing, Measures, Forward Started Options, European Options

Expensive Martingales

Number of pages: 25 Posted: 10 Apr 2005
Hans Buehler
JP Morgan
Downloads 125 (276,948)
Citation 3

Abstract:

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Marginals, Martingale, Transition Probability, Balayage, Linear Programming, Discrete Pricing, Measures, Forward Started Options, European Options

16.

Discrete Local Volatility for Large Time Steps (Short Version)

Number of pages: 16 Posted: 25 May 2016 Last Revised: 19 Nov 2018
Hans Buehler and Evgeny Ryskin
JP Morgan and JP Morgan Chase
Downloads 391 (93,292)
Citation 4

Abstract:

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Discrete Local Volatility, Discrete Martingale, Markov Margingale, Implied Volatility, Arbitrage-Free

17.

Delta-Hedging Works: On Market Completeness in Diffusion Models

Number of pages: 22 Posted: 31 Aug 2009 Last Revised: 09 Jul 2019
Hans Buehler
JP Morgan
Downloads 290 (129,753)

Abstract:

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Complete Market, Diffusion, Predictable Representation Property, Extremal Martingale, Second Fundamental Theorem of Asset Pricing, Replication, Delta-Hedging

18.

Information-Equivalence: On Filtrations Created by Independent Increments

Number of pages: 10 Posted: 01 Jun 2006 Last Revised: 05 Jan 2009
Hans Buehler
JP Morgan
Downloads 133 (263,289)

Abstract:

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Brownian Filtrations, Independent Increments, Equivalent Information