Tootfinder

Deep Hedging Under Non-Convexity: Limitations and a Case for AlphaZero
Matteo Maggiolo, Giuseppe Nuti, Miroslav \v{S}trupl, Oleg Szehr
https://arxiv.org/abs/2510.01874 https://

Deep Hedging Under Non-Convexity: Limitations and a Case for AlphaZero
This paper examines replication portfolio construction in incomplete markets - a key problem in financial engineering with applications in pricing, hedging, balance sheet management, and energy storage planning. We model this as a two-player game between an investor and the market, where the investor makes strategic bets on future states while the market reveals outcomes. Inspired by the success of Monte Carlo Tree Search in stochastic games, we introduce an AlphaZero-based system and compare i…

Frictional martingale optimal transport and robust hedging
Pratik Rai
https://arxiv.org/abs/2510.08182 https://arxiv.org/pdf/2510.08182

Frictional martingale optimal transport and robust hedging
We study martingale optimal transport (MOT) with state-dependent trading frictions and develop a geometric-duality framework that extends from one time-step to the multi-marginal setting. Building on the frictionless left-monotone structure (Beiglböck and Juillet, Ann. Probab. 2016; Henry-Labordère and Touzi, Finance Stoch. 2016; Beiglböck et al, Ann. Probab. 2017), we penalize trade increments by a convex cost and prove a frictional monotonicity principle. Optimal couplings admit bi-atomic …

Robust Pricing and Hedging of American Options in Continuous Time
Ivan Guo, Jan Ob\l\'oj
https://arxiv.org/abs/2510.05463 https://arxiv.org/pdf/2510.05…

Robust Pricing and Hedging of American Options in Continuous Time
We consider the robust pricing and hedging of American options in a continuous time setting. We assume asset prices are continuous semimartingales, but we allow for general model uncertainty specification via adapted closed convex constraints on the volatility. We prove the robust pricing-hedging duality. When European options with given prices are available for static trading, we show that duality holds against richer models where these options are traded dynamically. Our proofs rely on probab…

Crosslisted article(s) found for cs.LG. https://arxiv.org/list/cs.LG/new
[4/5]:
- Application of Deep Reinforcement Learning to At-the-Money S&P 500 Options Hedging
Zofia Bracha, Pawe{\l} Sakowski, Jakub Micha\'nk\'ow

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.

Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
Yan Dolinsky
https://arxiv.org/abs/2509.25472 https://arxiv.o…

Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
In this work we study a continuous time exponential utility maximization problem in the presence of a linear temporary price impact. More precisely, for the case where the risky asset is given by the Ornstein-Uhlenbeck diffusion process we compute the optimal portfolio strategy and the corresponding value. Our method of solution relies on duality, and it is purely probabilistic.

Replaced article(s) found for math.OC. https://arxiv.org/list/math.OC/new
[2/2]:
- Frictional martingale optimal transport and robust hedging
Pratik Rai
https:/…

Crosslisted article(s) found for math.PR. https://arxiv.org/list/math.PR/new
[1/1]:
- Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
Yan Dolinsky

Crosslisted article(s) found for q-fin.MF. https://arxiv.org/list/q-fin.MF/new
[1/1]:
- Exponential Hedging for the Ornstein-Uhlenbeck Process in the Presence of Linear Price Impact
Yan Dolinsky

Replaced article(s) found for q-fin.PM. https://arxiv.org/list/q-fin.PM/new
[1/1]:
- Design and hedging of unit linked life insurance with environmental factors
Katia Colaneri, Alessandra Cretarola, Edoardo Lombardo, Daniele Mancinelli