mlsanityData to 7 Oct 2026

Deep Hedging under Rough Volatility

arXiv 2102.01962 ↗First posted 3 Feb 2021q-fin.CP cs.CEcited by 10

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Abstract (arXiv)

We investigate the performance of the Deep Hedging framework under training paths beyond the (finite dimensional) Markovian setup. In particular we analyse the hedging performance of the original architecture under rough volatility models with view to existing theoretical results for those. Furthermore, we suggest parsimonious but suitable network architectures capable of capturing the non-Markoviantity of time-series. Secondly, we analyse the hedging behaviour in these models in terms of P&L distributions and draw comparisons to jump diffusion models if the the rebalancing frequency is realistically small.

Key facts. Cited by 10 papers in the map (data through 7 Oct 2026). First posted on arXiv 3 Feb 2021.

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Citing papers per year: 2022: 2; 2023: 2; 2024: 3; 2025: 2; 2026: 1.

10 papers.