{"id":"https://openalex.org/W4404351452","doi":"https://doi.org/10.1145/3677052.3698664","title":"Data-driven Derivative Hedging with Quadratic Variation Penalty","display_name":"Data-driven Derivative Hedging with Quadratic Variation Penalty","publication_year":2024,"publication_date":"2024-11-14","ids":{"openalex":"https://openalex.org/W4404351452","doi":"https://doi.org/10.1145/3677052.3698664"},"language":"en","primary_location":{"id":"doi:10.1145/3677052.3698664","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3677052.3698664","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698664","source":null,"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698664","any_repository_has_fulltext":null},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5029133577","display_name":"Alessio Brini","orcid":"https://orcid.org/0000-0003-1121-818X"},"institutions":[{"id":"https://openalex.org/I170897317","display_name":"Duke University","ror":"https://ror.org/00py81415","country_code":"US","type":"education","lineage":["https://openalex.org/I170897317"]},{"id":"https://openalex.org/I59028336","display_name":"Pratt Institute","ror":"https://ror.org/007m3p006","country_code":"US","type":"nonprofit","lineage":["https://openalex.org/I59028336"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Alessio Brini","raw_affiliation_strings":["Pratt School of Engineering, Duke University, United States"],"raw_orcid":"https://orcid.org/0000-0003-1121-818X","affiliations":[{"raw_affiliation_string":"Pratt School of Engineering, Duke University, United States","institution_ids":["https://openalex.org/I59028336","https://openalex.org/I170897317"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5084939540","display_name":"Giacomo Domeniconi","orcid":"https://orcid.org/0000-0003-2797-1547"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Giacomo Domeniconi","raw_affiliation_strings":["AI Innovation Team, U.S. Bank, United States"],"raw_orcid":"https://orcid.org/0000-0003-2797-1547","affiliations":[{"raw_affiliation_string":"AI Innovation Team, U.S. Bank, United States","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5030224170","display_name":"Ali Fathi","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ali Fathi","raw_affiliation_strings":["AI Innovation Team, U.S. Bank, United States"],"raw_orcid":"https://orcid.org/0009-0008-5511-698X","affiliations":[{"raw_affiliation_string":"AI Innovation Team, U.S. Bank, United States","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5029133577"],"corresponding_institution_ids":["https://openalex.org/I170897317","https://openalex.org/I59028336"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.2713208,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"478","last_page":"486"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9876999855041504,"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":0.9876999855041504,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9679999947547913,"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":0.9157999753952026,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.670239269733429},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.6223006248474121},{"id":"https://openalex.org/keywords/variation","display_name":"Variation (astronomy)","score":0.5917835831642151},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5114623308181763},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.4708157181739807},{"id":"https://openalex.org/keywords/quadratic-variation","display_name":"Quadratic variation","score":0.47067269682884216},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.45289507508277893},{"id":"https://openalex.org/keywords/penalty-method","display_name":"Penalty method","score":0.43729591369628906},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3682273030281067},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3386516869068146},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.1862284243106842},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.12359270453453064},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.0966847836971283},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.08819922804832458},{"id":"https://openalex.org/keywords/geometry","display_name":"Geometry","score":0.07702761888504028}],"concepts":[{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.670239269733429},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.6223006248474121},{"id":"https://openalex.org/C2778334786","wikidata":"https://www.wikidata.org/wiki/Q1586270","display_name":"Variation (astronomy)","level":2,"score":0.5917835831642151},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5114623308181763},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.4708157181739807},{"id":"https://openalex.org/C90087638","wikidata":"https://www.wikidata.org/wiki/Q7268374","display_name":"Quadratic variation","level":3,"score":0.47067269682884216},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.45289507508277893},{"id":"https://openalex.org/C6180225","wikidata":"https://www.wikidata.org/wiki/Q3411771","display_name":"Penalty method","level":2,"score":0.43729591369628906},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3682273030281067},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3386516869068146},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.1862284243106842},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.12359270453453064},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0966847836971283},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.08819922804832458},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.07702761888504028},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.0},{"id":"https://openalex.org/C44870925","wikidata":"https://www.wikidata.org/wiki/Q37547","display_name":"Astrophysics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/3677052.3698664","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3677052.3698664","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698664","source":null,"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th ACM International Conference on AI in Finance","raw_type":"proceedings-article"}],"best_oa_location":{"id":"doi:10.1145/3677052.3698664","is_oa":true,"landing_page_url":"https://doi.org/10.1145/3677052.3698664","pdf_url":"https://dl.acm.org/doi/pdf/10.1145/3677052.3698664","source":null,"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th ACM International Conference on AI in Finance","raw_type":"proceedings-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4404351452.pdf"},"referenced_works_count":17,"referenced_works":["https://openalex.org/W41554520","https://openalex.org/W1507126399","https://openalex.org/W2054625561","https://openalex.org/W2077791698","https://openalex.org/W2097998348","https://openalex.org/W2120465407","https://openalex.org/W3083887855","https://openalex.org/W3084037690","https://openalex.org/W3120947768","https://openalex.org/W3166964686","https://openalex.org/W4224232484","https://openalex.org/W4247451115","https://openalex.org/W4312163175","https://openalex.org/W4321497586","https://openalex.org/W4386446647","https://openalex.org/W4399424919","https://openalex.org/W6674385629"],"related_works":["https://openalex.org/W2386430105","https://openalex.org/W2356521405","https://openalex.org/W2038534795","https://openalex.org/W2384358604","https://openalex.org/W1567829292","https://openalex.org/W3001063351","https://openalex.org/W3196905815","https://openalex.org/W2351370765","https://openalex.org/W3204656475","https://openalex.org/W2604426824"],"abstract_inverted_index":{"We":[0,21,47,113],"consider":[1],"the":[2,33,37,41,49,62,66,75,85,92],"problem":[3,29],"of":[4,40],"hedging":[5,82,87,128],"a":[6,11,25,44,69],"European":[7],"call":[8],"option":[9],"under":[10,74],"discrete":[12],"rebalancing":[13],"schedule":[14],"with":[15,36],"trades":[16],"subject":[17],"to":[18,31],"transaction":[19,108],"costs.":[20],"formulate":[22],"this":[23],"as":[24,43],"stochastic":[26,54,70],"optimal":[27,55,86],"control":[28,56],"aiming":[30],"maximize":[32],"hedge":[34],"P&L":[35,42],"quadratic":[38,93],"variation":[39],"penalty":[45],"term.":[46],"solve":[48],"optimization":[50,122],"numerically,":[51],"using":[52],"deep":[53,58],"and":[57,110,124],"reinforcement":[59],"learning":[60],"when":[61,89,105],"market":[63],"follows":[64],"either":[65],"Black-Scholes":[67,76],"or":[68],"volatility":[71],"model.":[72],"Furthermore,":[73],"model,":[77],"we":[78],"show":[79,97],"that":[80,98],"delta":[81],"is":[83],"not":[84],"strategy":[88],"penalized":[90],"for":[91,107,120],"variation.":[94],"Our":[95],"results":[96],"data-driven":[99],"methods":[100,117],"outperform":[101],"traditional":[102],"delta-hedging":[103],"strategies":[104],"accounting":[106],"costs":[109,129],"pathwise":[111],"variability.":[112],"observe":[114],"how":[115],"these":[116],"are":[118],"well-suited":[119],"multi-step":[121],"problems":[123],"can":[125],"effectively":[126],"balance":[127],"over":[130],"time.":[131]},"counts_by_year":[],"updated_date":"2026-03-27T05:58:40.876381","created_date":"2025-10-10T00:00:00"}
