no code implementations • 1 May 2023 • Antoine Jacquier, Zan Zuric
The reservoir approach allows us to formulate the optimisation problem as a simple least-square regression for which we prove theoretical convergence properties.
no code implementations • 30 Oct 2021 • Marc Geha, Antoine Jacquier, Zan Zuric
We provide a detailed importance sampling analysis for variance reduction in stochastic volatility models.
no code implementations • 3 Feb 2021 • Blanka Horvath, Josef Teichmann, Zan Zuric
We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup.