Hedging Derivatives Under
Generic Market Frictions
Using Reinforcement Learning
A Talk by
Tuesday, May 5, 2020
A Free Webinar on Zoom
We will discuss the framework of deep hedging in general market environments and its exciting relations in a financial context to reinforcement learning, reservoir computing, scenario generation, regularization and model calibration.
Professor for Mathematical Finance at ETH Zurich. Research.
Interests in Stochastic Finance, Rough Analysis and Machine Learning.
About the Series
The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.