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The Journal of Financial Data Science

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Deep Hedging of Derivatives Using Reinforcement Learning

Jay Cao, Jacky Chen, John Hull and Zissis Poulos
The Journal of Financial Data Science Winter 2021, jfds.2020.1.052; DOI: https://doi.org/10.3905/jfds.2020.1.052
Jay Cao
is a senior research associate at the Joseph L. Rotman School of Management in Toronto, ON, Canada
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Jacky Chen
is a research associate at the Joseph L. Rotman School of Management and an associate portfolio manager at OPTrust in Toronto, ON, Canada
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John Hull
is a professor at the Joseph L. Rotman School of Management in Toronto, ON, Canada
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Zissis Poulos
is a postdoctoral fellow at the Joseph L. Rotman School of Management in Toronto, ON, Canada
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Article Information

jfds.2020.1.052
DOI 
https://doi.org/10.3905/jfds.2020.1.052

Published By 
Pageant Media Ltd
Print ISSN 
2640-3943
Online ISSN 
2640-3951
History 
  • Published online December 21, 2020.

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  • You are currently viewing a Latest version of this article (December 21, 2020 - 20:21).
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© 2020 Pageant Media Ltd

Author Information

  1. Jay Cao
    1. is a senior research associate at the Joseph L. Rotman School of Management in Toronto, ON, Canada. (jay.cao{at}rotman.utoronto.ca)
  2. Jacky Chen
    1. is a research associate at the Joseph L. Rotman School of Management and an associate portfolio manager at OPTrust in Toronto, ON, Canada. (jacky.chen17{at}rotman.utoronto.ca)
  3. John Hull
    1. is a professor at the Joseph L. Rotman School of Management in Toronto, ON, Canada. (john.hull{at}rotman.utoronto.ca)
  4. Zissis Poulos
    1. is a postdoctoral fellow at the Joseph L. Rotman School of Management in Toronto, ON, Canada. (zissis.poulos{at}rotman.utoronto.ca)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Financial Data Science: 3 (1)
The Journal of Financial Data Science
Vol. 3, Issue 1
Winter 2021
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Deep Hedging of Derivatives Using Reinforcement Learning
Jay Cao, Jacky Chen, John Hull, Zissis Poulos
The Journal of Financial Data Science Dec 2020, jfds.2020.1.052; DOI: 10.3905/jfds.2020.1.052

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Deep Hedging of Derivatives Using Reinforcement Learning
Jay Cao, Jacky Chen, John Hull, Zissis Poulos
The Journal of Financial Data Science Dec 2020, jfds.2020.1.052; DOI: 10.3905/jfds.2020.1.052
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  • Article
    • Abstract
    • REINFORCEMENT LEARNING
    • APPLICATION TO HEDGING
    • GEOMETRIC BROWNIAN MOTION TEST
    • STOCHASTIC VOLATILITY TEST
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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