return, such as volatility or skewness, and exploits her private information by trading a complete menu of options. The … exploit higher order moment information, such as the volatility straddle …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …

previous literature has focused on the effect of hedging activity on the volatility of the underlying, this paper focuses on …We investigate the feedback effect of option hedging activity on the stability of the price of the underlying. While … delta hedging and couple the predictions of this model with an approach to identify short-lived, locally explosive trends in …

that the resulting implied volatility curves provide an accurate approximation for a wide range of strike prices. Based on …

) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models …We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional … architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models …

controls the trade-off between smoothness and bid-offer compliance of the resulting volatility surface. Unlike previous …