Tootfinder

Reinforcement Learning from Probabilistic Forecasts for Safe Decision-Making via Conditional Value-at-Risk Planning
Michal Koren, Or Peretz, Tai Dinh, Philip S. Yu
https://arxiv.org/abs/2510.08226

Reinforcement Learning from Probabilistic Forecasts for Safe Decision-Making via Conditional Value-at-Risk Planning
Sequential decisions in volatile, high-stakes settings require more than maximizing expected return; they require principled uncertainty management. This paper presents the Uncertainty-Aware Markov Decision Process (UAMDP), a unified framework that couples Bayesian forecasting, posterior-sampling reinforcement learning, and planning under a conditional value-at-risk (CVaR) constraint. In a closed loop, the agent updates its beliefs over latent dynamics, samples plausible futures via Thompson sa…

Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus
Ayub Ahmadi, Mahdieh Tahmasebi
https://arxiv.org/abs/2510.05689 https://arx…

Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus
In financial mathematics, the calculation of the Greeks, especially the delta, is emphasized due to its role in risk management. In this article, we employ Malliavin calculus to determine the delta of European and Asian options, where the underlying asset evolves according to a Hawkes jump-diffusion process. A central feature is that the Hawkes jump intensity is stochastic, which substantially affects the delta representation.

Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
Zhongqin Gao, Ping Chen, Xun Li, Yan Lv, Wenhao Zhang
https://arxiv.org/abs/2509.03251

Multi-period Asset-liability Management with Reinforcement Learning in a Regime-Switching Market
This paper explores the mean-variance portfolio selection problem in a multi-period financial market characterized by regime-switching dynamics and uncontrollable liabilities. To address the uncertainty in the decision-making process within the financial market, we incorporate reinforcement learning (RL) techniques. Specifically, the study examines an exploratory mean-variance (EMV) framework where investors aim to minimize risk while maximizing returns under incomplete market information, infl…