Articles by Xavier Warin
Deep learning for efficient frontier calculation in finance
The author puts forward a means to calculate the efficient frontier in the Mean-Variance and Mean-CVaR portfolio optimization problems using deep neural network algorithms.
Deep learning for discrete-time hedging in incomplete markets
This paper presents several algorithms based on machine learning to solve hedging problems in incomplete markets.
Variance optimal hedging with application to electricity markets
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.
Numerical methods for the quadratic hedging problem in Markov models with jumps
In this paper algorithms are developed using the Hamilton–Jacobi–Bellman approach for parabolic partial integrodifferential equations related to the quadratic hedging strategy in incomplete markets.