Risk management: comparison between traditional hedging models and deep hedging models

Scicchigno, Andrea (A.A. 2022/2023) Risk management: comparison between traditional hedging models and deep hedging models. Tesi di Laurea in Machine learning for finance, Luiss Guido Carli, relatore Giulia Livieri, pp. 44. [Master's Degree Thesis]

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Abstract/Index

Deep hedging. Framework. Pricing and hedging using convex risk measures. Exponential utility indifference pricing and entropic risk measure. Optimized certainty equivalents. Deep learning. Implementation. Results.

References

Bibliografia: p. 44.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Machine learning for finance
Thesis Supervisor: Livieri, Giulia
Thesis Co-Supervisor: Mazzoni, Giancarlo
Academic Year: 2022/2023
Session: Extraordinary
Deposited by: Alessandro Perfetti
Date Deposited: 09 Jul 2024 08:21
Last Modified: 09 Jul 2024 08:21
URI: https://tesi.luiss.it/id/eprint/39216

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