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题目:基于机器学习的期权对冲最优策略的研究介绍。
主讲人:刘召聪
时间: 2022年2月18日 晚9点
地点: 腾讯会议
简介:
(1)介绍现阶段深度学习对期权对冲的研究。
(2)介绍基于LSTM的期权套期保值最优策略的实证分析。
(3)介绍如何利用风险厌恶强化学习来对冲期权。
(4)介绍公开数据集的寻找情况。
参考资料:
(1)Bisi L , Sabbioni L , Vittori E , et al. Risk-Averse Trust Region Optimization for Reward-Volatility Reduction[C]// Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20. 2020.
(2)Vittori E , Trapletti M , Restelli M . Option Hedging with Risk Averse Reinforcement Learning[J]. Social Science Electronic Publishing.
(3)option hedging using lstm-rnn: an empirical analysis. quantitative finance , 2021, 21(10): 1753-1772. doi: 10.1080/14697688.2021.1905171 zhang, junhuan huang, wenjun
(4)Ruf J , Wang W . Hedging with Linear Regressions and Neural Networks[J]. Journal of Business and Economic Statistics, 2021.
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