JP MORGAN의 DEEP HEDGING

JP MORGAN의 DEEP HEDGING
http://smallake.kr/?p=28006


Deep Hedging에 참여한 교수가 Josef Teichmann입니다. 
교수가 운용하는 Teaching을 보면 Deep Hedging과 관련한 교육과정 자료가 있습니다.

https://people.math.ethz.ch/~jteichma/lecture_1.html


Colab 을 사용 하시면 편하게 따라 하실 수 있습니다.

Google Colab 사용하기
https://zzsza.github.io/data/2018/08/30/google-colab/


Deep Hedging Machine‐driven trading of derivatives under market frictions
https://www.epfl.ch/schools/cdm/wp-content/uploads/2019/02/Buehler-Swissquote2018.pdf

 

델타 헤징

 

delta == difference