Search Results for author: Edoardo Vittori

Found 4 papers, 0 papers with code

CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning

no code implementations21 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.

Management reinforcement-learning

Reinforcement Learning for Credit Index Option Hedging

no code implementations19 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.

reinforcement-learning

Risk-Averse Trust Region Optimization for Reward-Volatility Reduction

no code implementations6 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.

Autonomous Driving Decision Making

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