applied to the conventional deep hedging training algorithm so as to enable obtaining a price through a single training run … for the two neural networks associated with the respective long and short hedging strategies. The accuracy of the neural …

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …