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CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning
This work studies the dynamic risk management of the risk-neutral value of the potential credit losses on a portfolio of derivatives.
Fast and Stable Credit Gamma of CVA
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders.
Reinforcement learning for options on target volatility funds
In this work we deal with the funding costs rising from hedging the risky securities underlying a target volatility strategy (TVS), a portfolio of risky assets and a risk-free one dynamically rebalanced in order to keep the realized volatility of the portfolio on a certain level.
Pricing commodity swing options
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts.
