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SUMMARY:Deep hedging: Learning Risk-Neutral Implied Volatility Dynamics - 
 Hans  Buehler (JP Morgan)
DTSTART:20210316T153500Z
DTEND:20210316T160000Z
UID:TALK157936@talks.cam.ac.uk
CONTACT:INI IT
DESCRIPTION:Given a market simulator of an option market without static ar
 bitrage (previous talk)\, we show how deep hedging can be used to construc
 t a risk-neutral density. We expand on use cases and generalise into the c
 ase with trading cost and trading restrictions.
LOCATION:Seminar Room 1\, Newton Institute
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