{"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/deep-quadratic-hedging","title":"Deep Quadratic Hedging","arxiv_id":"2212.12725","date":"2022-12-24","proceeding":null,"authors":["Alessandro Gnoatto","Silvia Lavagnini","Athena Picarelli"],"abstract":"We propose a novel computational procedure for quadratic hedging in high-dimensional incomplete markets, covering mean-variance hedging and local risk minimization. Starting from the observation that both quadratic approaches can be treated from the point of view of backward stochastic differential equations (BSDEs), we (recursively) apply a deep learning-based BSDE solver to compute the entire optimal hedging strategies paths. This allows us to overcome the curse of dimensionality, extending the scope of applicability of quadratic hedging in high dimension. We test our approach with a classic Heston model and with a multiasset and multifactor generalization thereof, showing that this leads to high levels of accuracy.","url_abs":"https://arxiv.org/abs/2212.12725v2","url_pdf":"https://arxiv.org/pdf/2212.12725v2.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":"deep-quadratic-hedging","repo_url":"https://github.com/silvialava/deep_quadratic_hedging","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":0,"framework":"tf","reach":null}],"tasks":[],"methods":[{"method_slug":"test","method_name":"Test"}],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}