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CATEGORIES:Isaac Newton Institute Seminar Series
SUMMARY:Deep hedging: Learning Risk-Neutral Implied Volati
 lity Dynamics - Hans  Buehler (JP Morgan)
DTSTART;TZID=Europe/London:20210316T153500
DTEND;TZID=Europe/London:20210316T160000
UID:TALK157936AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/157936
DESCRIPTION:Given a market simulator of an option market witho
 ut static arbitrage (previous talk)\, we show how 
 deep hedging can be used to construct a risk-neutr
 al density. We expand on use cases and generalise 
 into the case with trading cost and trading restri
 ctions.
LOCATION:Seminar Room 1\, Newton Institute
CONTACT:INI IT
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