
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year

JP Morgan is testing its ‘deep hedging’ machine-learning engine to hedge cliquet options, and hopes to go live with the approach in the coming months.
The bank is trying out the methodology in its own internal books to hedge Euro Stoxx cliquets – exotic options with complex payoffs that reset according to a predetermined schedule.
The tests started in October 2021, and full implementation is expected within months, says Jason Sippel, head of global equities at the bank.
JP Morgan’s deep
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Derivatives
Investing
Private equity is finding ways to attract smaller investors
Platforms and funds of funds make it easier to get money out, but opacity and liquidity risk remain
Receive this by email