{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/chaotic-hedging-with-iterated-integrals-and","title":"Chaotic Hedging with Iterated Integrals and Neural Networks","arxiv_id":"2209.10166","date":"2022-09-21","proceeding":null,"authors":["Ariel Neufeld","Philipp Schmocker"],"abstract":"In this paper, we derive an $L^p$-chaos expansion based on iterated Stratonovich integrals with respect to a given exponentially integrable continuous semimartingale. By omitting the orthogonality of the expansion, we show that every $p$-integrable functional, $p \\in [1,\\infty)$, can be approximated by a finite sum of iterated Stratonovich integrals. Using (possibly random) neural networks as integrands, we therefere obtain universal approximation results for $p$-integrable financial derivatives in the $L^p$-sense. Moreover, we can approximately solve the $L^p$-hedging problem (coinciding for $p = 2$ with the quadratic hedging problem), where the approximating hedging strategy can be computed in closed form within short runtime.","url_abs":"https://arxiv.org/abs/2209.10166v4","url_pdf":"https://arxiv.org/pdf/2209.10166v4.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"chaotic-hedging-with-iterated-integrals-and","repo_url":"https://github.com/psc25/chaotichedging","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":null}],"tasks":[],"methods":[{"method_slug":"diffusion","method_name":"Diffusion"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}