{"id":"https://openalex.org/W2941037157","doi":"https://doi.org/10.2139/ssrn.3355706","title":"Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning","display_name":"Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning","publication_year":2019,"publication_date":"2019-01-01","ids":{"openalex":"https://openalex.org/W2941037157","doi":"https://doi.org/10.2139/ssrn.3355706","mag":"2941037157"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.3355706","doi":"https://doi.org/10.2139/ssrn.3355706","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3355706","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.3355706","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5000504499","display_name":"Hans Buehler","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Hans Buehler","raw_affiliation_strings":["XTX Markets, 14-18 Handyside Street, London, Greater London N1C 4DN, United Kingdom","XTX Markets"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"XTX Markets, 14-18 Handyside Street, London, Greater London N1C 4DN, United Kingdom","institution_ids":[]},{"raw_affiliation_string":"XTX Markets","institution_ids":[]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069340033","display_name":"Lukas Gonon","orcid":"https://orcid.org/0000-0003-3367-2455","observed_orcids":["https://orcid.org/0000-0003-3367-2455"]},"institutions":[{"id":"https://openalex.org/I8204097","display_name":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","ror":"https://ror.org/05591te55","country_code":"DE","type":"education","lineage":["https://openalex.org/I8204097"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Lukas Gonon","raw_affiliation_strings":["Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ludwig-Maximilians-Universit\u00e4t M\u00fcnchen","institution_ids":["https://openalex.org/I8204097"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084818994","display_name":"Josef Teichmann","orcid":"https://orcid.org/0000-0003-0125-7484","observed_orcids":["https://orcid.org/0000-0003-0125-7484"]},"institutions":[{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]},{"id":"https://openalex.org/I54157616","display_name":"Swiss Finance Institute","ror":"https://ror.org/02cgn2a44","country_code":"CH","type":"education","lineage":["https://openalex.org/I54157616"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"Josef Teichmann","raw_affiliation_strings":["ETH Zurich, R\u00e4mistrasse 101, ZUE F7, Z\u00fcrich, 8092, Switzerland","Swiss Finance Institute, c/o University of Geneva, 40 Bd du Pont-d'Arve, CH-1211 Geneva 4, Switzerland","ETH Zurich","Swiss Finance Institute"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ETH Zurich, R\u00e4mistrasse 101, ZUE F7, Z\u00fcrich, 8092, Switzerland","institution_ids":["https://openalex.org/I35440088"]},{"raw_affiliation_string":"Swiss Finance Institute, c/o University of Geneva, 40 Bd du Pont-d'Arve, CH-1211 Geneva 4, Switzerland","institution_ids":["https://openalex.org/I54157616"]},{"raw_affiliation_string":"ETH Zurich","institution_ids":["https://openalex.org/I35440088"]},{"raw_affiliation_string":"Swiss Finance Institute","institution_ids":["https://openalex.org/I54157616"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110847175","display_name":"Ben Wood","orcid":"https://orcid.org/0009-0007-3186-3094","observed_orcids":["https://orcid.org/0009-0007-3186-3094"]},"institutions":[{"id":"https://openalex.org/I1305429384","display_name":"JPMorgan Chase & Co (United States)","ror":"https://ror.org/01x3kkr08","country_code":"US","type":"company","lineage":["https://openalex.org/I1305429384"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ben Wood","raw_affiliation_strings":["JP Morgan Chase, London, United Kingdom","JP Morgan Chase"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"JP Morgan Chase, London, United Kingdom","institution_ids":[]},{"raw_affiliation_string":"JP Morgan Chase","institution_ids":["https://openalex.org/I1305429384"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5000232535","display_name":"Baranidharan Mohan","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Baranidharan Mohan","raw_affiliation_strings":["JP Morgan, London, United Kingdom","JP Morgan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"JP Morgan, London, United Kingdom","institution_ids":[]},{"raw_affiliation_string":"JP Morgan","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5049219498","display_name":"Jonathan Kochems","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Jonathan Kochems","raw_affiliation_strings":["JP Morgan, London, United Kingdom","JP Morgan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"JP Morgan, London, United Kingdom","institution_ids":[]},{"raw_affiliation_string":"JP Morgan","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5000504499"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":51,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9496999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9496999979019165,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.023600000888109207,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.006399999838322401,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/deep-hedging","display_name":"deep hedging","score":0.9750000238418579},{"id":"https://openalex.org/keywords/derivative-hedging","display_name":"derivative hedging","score":0.859000027179718},{"id":"https://openalex.org/keywords/over-the-counter-derivatives","display_name":"over-the-counter derivatives","score":0.9509999752044678},{"id":"https://openalex.org/keywords/market-frictions","display_name":"market frictions","score":0.9750000238418579},{"id":"https://openalex.org/keywords/trade-costs","display_name":"trade costs","score":0.9409999847412109},{"id":"https://openalex.org/keywords/liquidity-constraints","display_name":"liquidity constraints","score":0.9980000257492065},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"reinforcement learning","score":0.9459999799728394},{"id":"https://openalex.org/keywords/risk-adjusted-returns","display_name":"risk-adjusted returns","score":0.8539999723434448},{"id":"https://openalex.org/keywords/options","display_name":"options","score":0.4950000047683716}],"concepts":[{"id":"https://openalex.org/C67203356","wikidata":"https://www.wikidata.org/wiki/Q1321905","display_name":"Reinforcement","level":2,"score":0.6793155670166016},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.6668305397033691},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4107442796230316},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3417378067970276},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3270905911922455},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.28455719351768494},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2238437831401825},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.14576488733291626},{"id":"https://openalex.org/C66938386","wikidata":"https://www.wikidata.org/wiki/Q633538","display_name":"Structural engineering","level":1,"score":0.1192205548286438}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.2139/ssrn.3355706","doi":"https://doi.org/10.2139/ssrn.3355706","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3355706","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"mag:3123471702","doi":null,"is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:chf:rpseri:rp1980","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"mag:3125342388","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/chf/rpseri/rp1980.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306531434","display_name":"Swiss Finance Institute Research Paper Series","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Swiss Finance Institute Research Paper Series","raw_type":null},{"id":"pmh:oai:RePEc:chf:rpseri:rp1980","doi":null,"is_oa":false,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3355706","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:alexandria.unisg.ch:20.500.14171/121845","doi":null,"is_oa":false,"landing_page_url":"https://www.alexandria.unisg.ch/handle/20.500.14171/121845","pdf_url":null,"source":{"id":"https://openalex.org/S4306400650","display_name":"Alexandria (UniSG) (University of St.Gallen)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210158813","host_organization_name":"St.Gallen University of Teacher Education","host_organization_lineage":["https://openalex.org/I4210158813"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN","raw_type":"conference paper"}],"best_oa_location":{"id":"doi:10.2139/ssrn.3355706","doi":"https://doi.org/10.2139/ssrn.3355706","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.3355706","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":14,"referenced_works":["https://openalex.org/W1522301498","https://openalex.org/W1573838050","https://openalex.org/W1988115241","https://openalex.org/W2018042870","https://openalex.org/W2064675550","https://openalex.org/W2064978316","https://openalex.org/W2068433492","https://openalex.org/W2077791698","https://openalex.org/W2157883119","https://openalex.org/W2517735824","https://openalex.org/W2731083990","https://openalex.org/W2889626940","https://openalex.org/W4246477930","https://openalex.org/W4248704747"],"related_works":["https://openalex.org/W4238411259","https://openalex.org/W4283830820","https://openalex.org/W3081043352","https://openalex.org/W7042649807","https://openalex.org/W3115327765","https://openalex.org/W4324142714","https://openalex.org/W6912185606","https://openalex.org/W7214506847","https://openalex.org/W3121262324","https://openalex.org/W4414020230"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":7},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":13},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":13},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":3}],"updated_date":"2026-11-10T11:39:43.021295","created_date":"2019-05-03T00:00:00"}