{"id":"https://openalex.org/W4321497586","doi":"https://doi.org/10.3389/frai.2023.1129370","title":"Gamma and vega hedging using deep distributional reinforcement learning","display_name":"Gamma and vega hedging using deep distributional reinforcement learning","publication_year":2023,"publication_date":"2023-02-22","ids":{"openalex":"https://openalex.org/W4321497586","doi":"https://doi.org/10.3389/frai.2023.1129370","pmid":"https://pubmed.ncbi.nlm.nih.gov/36909205"},"language":"en","primary_location":{"id":"doi:10.3389/frai.2023.1129370","is_oa":true,"landing_page_url":"https://doi.org/10.3389/frai.2023.1129370","pdf_url":"https://www.frontiersin.org/articles/10.3389/frai.2023.1129370/pdf","source":{"id":"https://openalex.org/S4210197006","display_name":"Frontiers in Artificial Intelligence","issn_l":"2624-8212","issn":["2624-8212"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320527","host_organization_name":"Frontiers Media","host_organization_lineage":["https://openalex.org/P4310320527"],"host_organization_lineage_names":["Frontiers Media"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj","pubmed"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.frontiersin.org/articles/10.3389/frai.2023.1129370/pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5000807570","display_name":"Jay Cao","orcid":null},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Jay Cao","raw_affiliation_strings":["Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5082543970","display_name":"Jacky Chen","orcid":"https://orcid.org/0000-0003-0809-8340"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Jacky Chen","raw_affiliation_strings":["Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5027849360","display_name":"Soroush Farghadani","orcid":null},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Soroush Farghadani","raw_affiliation_strings":["Department of Computer Science, University of Toronto, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science, University of Toronto, Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110206983","display_name":"John Hull","orcid":null},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":true,"raw_author_name":"John Hull","raw_affiliation_strings":["Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5018312650","display_name":"Zissis Poulos","orcid":"https://orcid.org/0000-0002-2427-7413"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Zissis Poulos","raw_affiliation_strings":["Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100379683","display_name":"Zeyu Wang","orcid":"https://orcid.org/0000-0001-7413-7665"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Zeyu Wang","raw_affiliation_strings":["Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100347991","display_name":"Jun Yuan","orcid":"https://orcid.org/0000-0001-5936-3058"},"institutions":[{"id":"https://openalex.org/I185261750","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087","country_code":"CA","type":"education","lineage":["https://openalex.org/I185261750"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Jun Yuan","raw_affiliation_strings":["Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Joseph L. Rotman School of Management, University of Toronto, Toronto, ON, Canada","institution_ids":["https://openalex.org/I185261750"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5110206983"],"corresponding_institution_ids":["https://openalex.org/I185261750"],"apc_list":{"value":2125,"currency":"USD","value_usd":2125},"apc_paid":{"value":2125,"currency":"USD","value_usd":2125},"fwci":4.0966,"has_fulltext":true,"cited_by_count":21,"citation_normalized_percentile":{"value":0.93929563,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":"6","issue":null,"first_page":"1129370","last_page":"1129370"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9983000159263611,"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"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9983000159263611,"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/T11059","display_name":"Market Dynamics and Volatility","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9951000213623047,"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/transaction-cost","display_name":"Transaction cost","score":0.6800219416618347},{"id":"https://openalex.org/keywords/vega","display_name":"Vega","score":0.610920786857605},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6021819710731506},{"id":"https://openalex.org/keywords/reinforcement-learning","display_name":"Reinforcement learning","score":0.5758158564567566},{"id":"https://openalex.org/keywords/robustness","display_name":"Robustness (evolution)","score":0.5509284734725952},{"id":"https://openalex.org/keywords/quantile-regression","display_name":"Quantile regression","score":0.5159164667129517},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5138576030731201},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.4961472451686859},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4917447865009308},{"id":"https://openalex.org/keywords/database-transaction","display_name":"Database transaction","score":0.46560555696487427},{"id":"https://openalex.org/keywords/position","display_name":"Position (finance)","score":0.4229528605937958},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.31996870040893555},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.2935314178466797},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.23147916793823242},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.20583972334861755},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.13839739561080933}],"concepts":[{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6800219416618347},{"id":"https://openalex.org/C2778538500","wikidata":"https://www.wikidata.org/wiki/Q3427","display_name":"Vega","level":2,"score":0.610920786857605},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6021819710731506},{"id":"https://openalex.org/C97541855","wikidata":"https://www.wikidata.org/wiki/Q830687","display_name":"Reinforcement learning","level":2,"score":0.5758158564567566},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.5509284734725952},{"id":"https://openalex.org/C63817138","wikidata":"https://www.wikidata.org/wiki/Q3455889","display_name":"Quantile regression","level":2,"score":0.5159164667129517},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5138576030731201},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4961472451686859},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4917447865009308},{"id":"https://openalex.org/C75949130","wikidata":"https://www.wikidata.org/wiki/Q848010","display_name":"Database transaction","level":2,"score":0.46560555696487427},{"id":"https://openalex.org/C198082294","wikidata":"https://www.wikidata.org/wiki/Q3399648","display_name":"Position (finance)","level":2,"score":0.4229528605937958},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.31996870040893555},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2935314178466797},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.23147916793823242},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.20583972334861755},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.13839739561080933},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C104317684","wikidata":"https://www.wikidata.org/wiki/Q7187","display_name":"Gene","level":2,"score":0.0},{"id":"https://openalex.org/C1276947","wikidata":"https://www.wikidata.org/wiki/Q333","display_name":"Astronomy","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.3389/frai.2023.1129370","is_oa":true,"landing_page_url":"https://doi.org/10.3389/frai.2023.1129370","pdf_url":"https://www.frontiersin.org/articles/10.3389/frai.2023.1129370/pdf","source":{"id":"https://openalex.org/S4210197006","display_name":"Frontiers in Artificial Intelligence","issn_l":"2624-8212","issn":["2624-8212"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320527","host_organization_name":"Frontiers Media","host_organization_lineage":["https://openalex.org/P4310320527"],"host_organization_lineage_names":["Frontiers Media"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence","raw_type":"journal-article"},{"id":"pmid:36909205","is_oa":false,"landing_page_url":"https://pubmed.ncbi.nlm.nih.gov/36909205","pdf_url":null,"source":{"id":"https://openalex.org/S4306525036","display_name":"PubMed","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in artificial intelligence","raw_type":null},{"id":"pmh:oai:pubmedcentral.nih.gov:9992725","is_oa":true,"landing_page_url":"https://www.ncbi.nlm.nih.gov/pmc/articles/9992725","pdf_url":"https://pmc.ncbi.nlm.nih.gov/articles/PMC9992725/pdf/frai-06-1129370.pdf","source":{"id":"https://openalex.org/S2764455111","display_name":"PubMed Central","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1299303238","host_organization_name":"National Institutes of Health","host_organization_lineage":["https://openalex.org/I1299303238"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Front Artif Intell","raw_type":"Text"},{"id":"pmh:oai:doaj.org/article:e6ec3324d6994697b2efba26803914cb","is_oa":true,"landing_page_url":"https://doaj.org/article/e6ec3324d6994697b2efba26803914cb","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Frontiers in Artificial Intelligence, Vol 6 (2023)","raw_type":"article"}],"best_oa_location":{"id":"doi:10.3389/frai.2023.1129370","is_oa":true,"landing_page_url":"https://doi.org/10.3389/frai.2023.1129370","pdf_url":"https://www.frontiersin.org/articles/10.3389/frai.2023.1129370/pdf","source":{"id":"https://openalex.org/S4210197006","display_name":"Frontiers in Artificial Intelligence","issn_l":"2624-8212","issn":["2624-8212"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310320527","host_organization_name":"Frontiers Media","host_organization_lineage":["https://openalex.org/P4310320527"],"host_organization_lineage_names":["Frontiers Media"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Frontiers in Artificial Intelligence","raw_type":"journal-article"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/17","display_name":"Partnerships for the goals","score":0.5299999713897705}],"awards":[],"funders":[{"id":"https://openalex.org/F4320307950","display_name":"TD Bank","ror":"https://ror.org/01pf6nd13"},{"id":"https://openalex.org/F4320312039","display_name":"Global Risk Institute in Financial Services","ror":"https://ror.org/0262v8w25"},{"id":"https://openalex.org/F4320313506","display_name":"Royal Bank of Canada","ror":"https://ror.org/03hgnwx26"},{"id":"https://openalex.org/F4320320325","display_name":"University of Sussex","ror":"https://ror.org/00ayhx656"},{"id":"https://openalex.org/F4320322015","display_name":"University of Toronto","ror":"https://ror.org/03dbr7087"},{"id":"https://openalex.org/F4320336076","display_name":"Rotman School of Management, University of Toronto","ror":null}],"has_content":{"grobid_xml":false,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4321497586.pdf"},"referenced_works_count":15,"referenced_works":["https://openalex.org/W2077791698","https://openalex.org/W2356031020","https://openalex.org/W2765302304","https://openalex.org/W2798705390","https://openalex.org/W2914584772","https://openalex.org/W3018220720","https://openalex.org/W3081043352","https://openalex.org/W4231057775","https://openalex.org/W4247451115","https://openalex.org/W4298876402","https://openalex.org/W4318480848","https://openalex.org/W6683300800","https://openalex.org/W6706320068","https://openalex.org/W6750645735","https://openalex.org/W6849160132"],"related_works":["https://openalex.org/W2351772106","https://openalex.org/W2479892496","https://openalex.org/W2374628570","https://openalex.org/W1969908823","https://openalex.org/W2545919838","https://openalex.org/W3157451914","https://openalex.org/W4200013393","https://openalex.org/W2359717612","https://openalex.org/W2060889733","https://openalex.org/W3204459944"],"abstract_inverted_index":{"We":[0,34,57,80,86,115],"show":[1],"how":[2,60,90],"reinforcement":[3],"learning":[4],"can":[5,64],"be":[6,65],"used":[7,66,112],"in":[8,53,62],"conjunction":[9],"with":[10],"quantile":[11],"regression":[12],"to":[13,67,77,124],"develop":[14],"a":[15,19,30,51],"hedging":[16,93,122],"strategy":[17,94,123],"for":[18,22,113,128],"trader":[20,38],"responsible":[21],"derivatives":[23],"that":[24,36],"arrive":[25],"stochastically":[26],"and":[27,70,106],"depend":[28],"on":[29,59,89,96],"single":[31],"underlying":[32,55,130],"asset.":[33,56,131],"assume":[35],"the":[37,40,44,54,91,97,101,107,110,118,121,125,129],"makes":[39],"portfolio":[41],"delta-neutral":[42],"at":[43],"end":[45],"of":[46,103,109,120],"each":[47],"day":[48],"by":[49],"taking":[50],"position":[52],"focus":[58],"trades":[61,74],"options":[63,111],"manage":[68],"gamma":[69],"vega.":[71],"The":[72],"option":[73],"are":[75],"subject":[76],"transaction":[78,104],"costs.":[79],"consider":[81],"three":[82],"different":[83],"objective":[84,99],"functions.":[85],"reach":[87],"conclusions":[88],"optimal":[92],"depends":[95],"trader's":[98],"function,":[100],"level":[102],"costs,":[105],"maturity":[108],"hedging.":[114],"also":[116],"investigate":[117],"robustness":[119],"process":[126],"assumed":[127]},"counts_by_year":[{"year":2026,"cited_by_count":4},{"year":2025,"cited_by_count":10},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":2}],"updated_date":"2026-08-06T08:24:18.245995","created_date":"2025-10-10T00:00:00"}