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IAQF & Thalesians Seminar Series: Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information. A Seminar by Frédéric Godin.

  • 03 Dec 2024
  • 6:00 PM
  • Fordham University McNally Amphitheater 140 West 62nd Street New York, NY 10023

Registration


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6:00 PM Seminar Begins

7:30 PM Reception


Hybrid Event:

Fordham University

McNally Amphitheater

140 West 62nd Street

New York, NY 10023


Free Registration!


For Virtual Attendees: Please select Virtual instead of member type upon registration.

Abstract:

We present a dynamic hedging scheme for S&P 500 options, where rebalancing decisions are enhanced by integrating information about the implied volatility surface dynamics. The optimal hedging strategy is obtained through a deep policy gradient-type reinforcement learning algorithm, with a novel hybrid neural network architecture improving the training performance. The favorable inclusion of forward-looking information embedded in the volatility surface allows our procedure to outperform several conventional benchmarks such as practitioner and smiled-implied delta hedging procedures, both in simulation and backtesting experiments.


Bio:

Frédéric Godin is an Associate Professor at Concordia University (Montreal, Canada) in the Department of Mathematics and Statistics. His areas of research are financial engineering, risk management, actuarial science, reinforcement learning and energy markets. He also holds the Fellow of the Society of Actuaries (FSA) and Fellow of the Canadian Institute of Actuaries (FCIA) designations.