Murray, Phillip

1. Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
   2022/07/15 by Phillip Murray, Ben Wood, Murray, Phillip +7 · 1 voice · 4 citations
   Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Machine Learning (stat.ML) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications #q-fin.CP #q-fin.RM #stat.ML
2. Deep Bellman Hedging
   2022/07/03 by Buehler, Hans, Murray, Phillip, Wood, Ben · 2 citations
   #Computational Finance (q-fin.CP) #FOS: Economics and business #Statistical Finance (q-fin.ST)
3. Deep Hedging: Learning to Remove the Drift under Trading Frictions with Minimal Equivalent Near-Martingale Measures
   2021/11/15 by Buehler, Hans, Murray, Phillip, Pakkanen, Mikko S. +1 · 1 citation
   #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Machine Learning (stat.ML)