Deep Hedging of Derivatives Using Reinforcement Learning

Jay Cao; Jacky Chen; John Hull; Zissis Poulos

doi:10.3905/jfds.2020.1.052

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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The Journal of Financial Data Science

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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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