Essays about: "deep hedging"

Found 4 essays containing the words deep hedging.

  1. 1. Option Modelling by Deep Learning

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Niclas Klausson; Victor Tisell; [2021-02-10]
    Keywords : Deep learning; deep hedging; generative adversial networks; arbitrage pricing;

    Abstract : In this thesis we aim to provide a fully data driven approach for modelling financial derivatives, exclusively using deep learning. In order for a derivatives model to be plausible, it should adhere to the principle of no-arbitrage which has profound consequences on both pricing and risk management. READ MORE

  2. 2. Deep Learning and the Heston Model:Calibration & Hedging

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oliver Klingberg Malmer; Victor Tisell; [2020-07-03]
    Keywords : deep learning; deep hedging; deep calibration; option pricing; stochastic volatilty; Heston model; S P 500 index options; incomplete markets; transaction costs;

    Abstract : The computational speedup of computers has been one of the de ning characteristicsof the 21st century. This has enabled very complex numerical methods for solving existingproblems. As a result, one area that has seen an extraordinary rise in popularity over the lastdecade is what is called deep learning. READ MORE

  3. 3. Long Term Forecasting of Industrial Electricity Consumption Data With GRU, LSTM and Multiple Linear Regression

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Roxana Buzatoiu; [2020]
    Keywords : Time Series Analysis; Recurrent Neural Networks; long-term Forecasting; Exploratory Data Analysis; Multiple Linear Regression; ACF; PACF; Energy Sector; Tidsserieanalys; återkommande neurala nätverk; långtidsprognoser; undersökande dataanalys; multipel linjär regression; ACF; PACF; energisektor;

    Abstract : Accurate long-term energy consumption forecasting of industrial entities is of interest to distribution companies as it can potentially help reduce their churn and offer support in decision making when hedging. This thesis work presents different methods to forecast the energy consumption for industrial entities over a long time prediction horizon of 1 year. READ MORE

  4. 4. Hedging Effectiveness of Index Options in Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Janis Lazdins; Janis Kiploks; [2011]
    Keywords : Black-Scholes-Merton model; Regression-based hedge; Hedging errors; Hedging performance and effectiveness;

    Abstract : We test hedging performance of five different hedging techniques of the OMX Stockholm 30 (OMXS30) call options. Four of the hedging techniques applied are based on the Black-Scholes-Merton (BSM) model and the fifth is a regression-based model that adjusts the original BSM Greeks. READ MORE