Robust Hedging GANs

Understand

The availability of deep hedging has opened new horizons for solving hedging problems under a large variety of realistic market conditions.

• At the same time, any model - be it a traditional stochastic model or a market generator - is at best an approximation of market reality, prone to model-misspecification and estimation errors.
• This raises the question, how to furnish a modelling setup with tools that can address the risk of discrepancy between anticipated distribution and market reality, in an automated way.
• Automated robustification is currently attracting increased attention in numerous investment problems, but it is a delicate task due to its imminent implications on risk management.