JP Morgan testing deep hedging of exotics

Neural network trained to hedge complex options using simulated data expected to go live this year

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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

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