Hedging exotic options in presence of market frictions is an important risk management task. Deep hedging can solve such hedging problems by training neural network policies in realistic simulated markets. Training these neural networks may be delicate ...

We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders, and volatility traders. The volatility traders participate in the ...

We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-averse stochastic control problems and use it to learn hedging strategies ...