no code implementations • 21 Dec 2023 • Roberto Daluiso, Marco Pinciroli, Michele Trapletti, Edoardo Vittori
This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives.
no code implementations • 19 Jul 2023 • Francesco Mandelli, Marco Pinciroli, Michele Trapletti, Edoardo Vittori
We apply a state of the art algorithm, the Trust Region Volatility Optimization (TRVO) algorithm and show that the derived hedging strategy outperforms the practitioner's Black & Scholes delta hedge.
no code implementations • 23 Oct 2020 • Edoardo Vittori, Michele Trapletti, Marcello Restelli
In this paper we show how risk-averse reinforcement learning can be used to hedge options.
no code implementations • 6 Dec 2019 • Lorenzo Bisi, Luca Sabbioni, Edoardo Vittori, Matteo Papini, Marcello Restelli
In real-world decision-making problems, for instance in the fields of finance, robotics or autonomous driving, keeping uncertainty under control is as important as maximizing expected returns.