Deep Partial Hedging

1 code implementation • 14 Dec 2021 • Songyan Hou, Thomas Krabichler, Marcus Wunsch

Using techniques from deep learning (cf.

Hedging Goals

no code implementations • 17 May 2021 • Thomas Krabichler, Marcus Wunsch

Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory.

A deep learning model for gas storage optimization

no code implementations • 3 Feb 2021 • Nicolas Curin, Michael Kettler, Xi Kleisinger-Yu, Vlatka Komaric, Thomas Krabichler, Josef Teichmann, Hanna Wutte

To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon.

Management reinforcement-learning +1

Deep Replication of a Runoff Portfolio

no code implementations • 10 Sep 2020 • Thomas Krabichler, Josef Teichmann

To the best of our knowledge, the application of deep learning in the field of quantitative risk management is still a relatively recent phenomenon.

Decision Making Management