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08/16/2023
Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning
This paper proposes a novel framework for identifying an agent's risk av...
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06/15/2023
Decoding the age-chemical structure of the Milky Way disk: An application of Copulas and Elicitable Maps
In the Milky Way, the distribution of stars in the [α/Fe] vs. [Fe/H] and...
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03/27/2023
Robust Risk-Aware Option Hedging
The objectives of option hedging/trading extend beyond mere protection a...
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03/01/2023
FuNVol: A Multi-Asset Implied Volatility Market Simulator using Functional Principal Components and Neural SDEs
This paper introduces a new approach for generating sequences of implied...
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02/27/2023
Distributional Method for Risk Averse Reinforcement Learning
We introduce a distributional method for learning the optimal policy in ...
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06/29/2022
Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
We propose a novel framework to solve risk-sensitive reinforcement learn...
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12/26/2021
Reinforcement Learning with Dynamic Convex Risk Measures
We develop an approach for solving time-consistent risk-sensitive stocha...
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10/03/2021
Deep Learning for Principal-Agent Mean Field Games
Here, we develop a deep learning algorithm for solving Principal-Agent (...
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09/22/2021
Functional Data Analysis for Extracting the Intrinsic Dimensionality of Spectra – Application: Chemical Homogeneity in Open Cluster M67
High-resolution spectroscopic surveys of the Milky Way have entered the ...
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08/23/2021
Robust Risk-Aware Reinforcement Learning
We present a reinforcement learning (RL) approach for robust optimisatio...
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08/10/2021
Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
We propose a hybrid method for generating arbitrage-free implied volatil...
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11/25/2020
Exploratory LQG Mean Field Games with Entropy Regularization
We study a general class of entropy-regularized multi-variate LQG mean f...
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04/24/2020
Trading Foreign Exchange Triplets
We develop the optimal trading strategy for a foreign exchange (FX) brok...
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04/23/2019
Deep Q-Learning for Nash Equilibria: Nash-DQN
Model-free learning for multi-agent stochastic games is an active area o...
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03/16/2019
Active and Passive Portfolio Management with Latent Factors
We address a portfolio selection problem that combines active (outperfor...
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12/17/2018
Double Deep Q-Learning for Optimal Execution
Optimal trade execution is an important problem faced by essentially all...
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06/12/2018