Deep Hedging
Learn hedging policies under frictions and non-quadratic objectives.
Build the mental model first.
Optimise the trading policy directly when transaction costs and constraints break textbook replication.
Learn hedging policies under frictions and non-quadratic objectives.
Now make it exact.
Notation and units
Decimal rates and volatilities, year-fraction time and continuous compounding unless stated otherwise.
Every model has a price.
Educational conventions are stated explicitly and may simplify market quotation or settlement details.
Rates are continuously compounded unless the section says otherwise.
Inputs are deterministic in the base model.
“An unstated convention is a future reconciliation break.”— THEQUANTBATEMAN
Why a quant cares.
Active research and selective experimentation, not a universal replacement for desk risk systems.
The hedge has opinions.
Start with the quote convention, then ask which Frontier risk survives the hedge. A number without its convention is merely well-dressed ambiguity.
Ask Bateman about this model →