CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning

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.

Management reinforcement-learning

Reinforcement Learning for Credit Index Option Hedging

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.

reinforcement-learning

Option Hedging with Risk Averse Reinforcement Learning

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.

reinforcement-learning Reinforcement Learning (RL)