Deep Hedging
Learn hedging policies under frictions and non-quadratic objectives.
State the empirical or computational motivation.
Optimise the trading policy directly when transaction costs and constraints break textbook replication.
Learn hedging policies under frictions and non-quadratic objectives.
Expose the proposed mathematical object.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Separate evidence from modelling choice.
The proposed method is compared with an established baseline on held-out scenarios.
Parameter uncertainty and extrapolation are reported rather than hidden by one fit metric.
Production use requires independent validation, monitoring and a documented fallback.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Define a falsifiable validation target.
Active research and selective experimentation, not a universal replacement for desk risk systems.
Treat governance as part of the method.
Keep an established Frontier baseline beside the new method and define the scenario in which the fallback takes control.
Ask Bateman about this topic →