We use a reinforcement model to compute the hedging policy for Credit Valuation Adjustment ( CVA ) problems. Reinforcement learning can be used to solve financial applications ofintertemporal choice. In finance, common problems of this kind include pricing and hedging ofcontingent claims,...

We address the problem of how to optimally hedge an options book in a practical setting, where trading decisions are discrete and trading costs can be nonlinear and difficult to model. Based on reinforcement learning, a well-established machine learning technique, our model is shown to be...

We give an overview and outlook of the field of reinforcement learning as it applies to solving financial applications of intertemporal choice. In finance, common problems of this kind include pricing and hedging of contingent claims, investment and portfolio allocation, buying and selling a...