Deep Hedging under Rough Volatility
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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.
- 2022Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformercited by 22
- 2022Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversionscited by 13
- 2023SigFormer: Signature Transformers for Deep Hedgingcited by 7
- 2024Fast Deep Hedging with Second-Order Optimizationcited by 6
- 2023Adversarial Deep Hedging: Learning to Hedge without Price Process Modelingcited by 5
- 2024Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Informationcited by 2
- 2025Deep Reinforcement Learning Algorithms for Option Hedgingcited by 2
- 2025Hedging with memory: shallow and deep learning with signaturescited by 2
- 2024Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulatorscited by 0
- 2026NeuralChaos: Optimal Adapted Approximation of Square Integrable Predictable Processescited by 0
- 2026NeuralChaos: Optimal Adapted Approximation of Square Integrable Predictable Processes15 Jul 2026
- 2025Hedging with memory: shallow and deep learning with signatures3 Aug 2025
- 2025Deep Reinforcement Learning Algorithms for Option Hedging7 Apr 2025
- 2024Fast Deep Hedging with Second-Order Optimization29 Oct 2024
- 2024Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information30 Jul 2024
- 2024Experimental Analysis of Deep Hedging Using Artificial Market Simulations for Underlying Asset Simulators15 Apr 2024
- 2023SigFormer: Signature Transformers for Deep Hedging20 Oct 2023
- 2023Adversarial Deep Hedging: Learning to Hedge without Price Process Modeling25 Jul 2023
- 2022Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions15 Jul 2022
- 2022Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer31 Jan 2022