论文标题
不完整市场的僵化的多资产对冲
Inflexible Multi-Asset Hedging of incomplete market
论文作者
论文摘要
在整个市场的假设下接受培训的模型通常不会在不完整的市场中生效。本文以三种不完整来源解决了不完整的市场中的对冲问题：风险因素，流动性不足和离散交易日期。提出了一种新的跳跃扩散模型来描述随机资产价格。包括RNN，LSTM，Mogrifier-LSTM在内的三个中性网络用于实现MSE损失和HUBER损失并进行比较的对冲策略。结果，Mogrifier-LSTM是MSE和HUBER损失下最佳结果的最快模型。
Models trained under assumptions in the complete market usually don't take effect in the incomplete market. This paper solves the hedging problem in incomplete market with three sources of incompleteness: risk factor, illiquidity, and discrete transaction dates. A new jump-diffusion model is proposed to describe stochastic asset prices. Three neutral networks, including RNN, LSTM, Mogrifier-LSTM are used to attain hedging strategies with MSE Loss and Huber Loss implemented and compared.As a result, Mogrifier-LSTM is the fastest model with the best results under MSE and Huber Loss.
