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Deep hedging: Learning Risk-Neutral Implied Volatility Dynamics

Presented by: 
Hans Buehler
Date: 
Tuesday 16th March 2021 - 15:35 to 16:00
Venue: 
INI Seminar Room 1
Session Title: 
Applications & Challenges – End-Users Perspectives
Session Chair: 
Terry Lyons
Abstract: 
Given a market simulator of an option market without static arbitrage (previous talk), we show how deep hedging can be used to construct a risk-neutral density. We expand on use cases and generalise into the case with trading cost and trading restrictions.
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons