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Deep hedging: Learning Risk-Neutral Implied Volatility Dynamics

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TGMW89 - Unlocking Data Streams

Given a market simulator of an option market without static arbitrage (previous talk), we show how deep hedging can be used to construct a risk-neutral density. We expand on use cases and generalise into the case with trading cost and trading restrictions.

This talk is part of the Isaac Newton Institute Seminar Series series.

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