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DTSTART:20250330T010000
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DTSTART;TZID=Europe/Helsinki:20250424T150000
DTEND;TZID=Europe/Helsinki:20250424T160000
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SUMMARY:Nicolas BARADEL (Ecole Polytechnique & INRIA)  "Deep learning for pricing and hedging European options in incomplete markets.”"
DESCRIPTION:Finance-Insurance\nTime: 15.00 am\nDate: 24th of April 2025\nRoom 3001 \nNicolas BARADEL (Ecole Polytechnique & INRIA) “Deep learning for pricing and hedging European options in incomplete markets.” \nAbstract : We propose a deep learning framework for pricing and hedging European options in incomplete financial markets characterized by stochastic volatility and correlation. We introduce a single deep neural network that simultaneously estimates the option price and its hedging strategy\, leveraging the self-financing condition. The network’s output provides the price\, while its gradient with respect to the underlying assets yields the hedging strategy. This direct approach delivers results comparable to applying Black-Scholes hedging. We propose an approach with a control variable on the terminal condition\, making it endogenous. Numerical experiments demonstrate that our method outperforms the Black-Scholes hedging strategy\, achieving more concentrated profit and loss distributions. While inspired by finance\, these methods can be applied to asset-liability management for life insurers\, particularly for valuing their guarantees. \n  \nOrganizers:  Jean-David FERMANIAN \n  \n
URL:https://crest.science/event/nicolas-baradel-ecole-polytechnique-inria-deep-learning-for-pricing-and-hedging-european-options-in-incomplete-markets/
CATEGORIES:Finance-Insurance,Seminars
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