{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,14]],"date-time":"2026-03-14T04:02:31Z","timestamp":1773460951862,"version":"3.50.1"},"publisher-location":"New York, NY, USA","reference-count":28,"publisher":"ACM","license":[{"start":{"date-parts":[[2021,11,3]],"date-time":"2021-11-03T00:00:00Z","timestamp":1635897600000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.acm.org\/publications\/policies\/copyright_policy#Background"}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2021,11,3]]},"DOI":"10.1145\/3490354.3494392","type":"proceedings-article","created":{"date-parts":[[2022,5,5]],"date-time":"2022-05-05T03:50:06Z","timestamp":1651722606000},"page":"1-8","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":1,"title":["The efficient hedging frontier with deep neural networks"],"prefix":"10.1145","author":[{"given":"Zheng","family":"Gong","sequence":"first","affiliation":[{"name":"University of Essex, Colchester, United Kingdom"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Carmine","family":"Ventre","sequence":"additional","affiliation":[{"name":"King's College London, London, United Kingdom"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"John","family":"O'Hara","sequence":"additional","affiliation":[{"name":"University of Essex, Colchester, United Kingdom"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"320","published-online":{"date-parts":[[2022,5,4]]},"reference":[{"key":"e_1_3_2_1_1_1","volume-title":"Optimal execution of portfolio transactions. Journal of Risk","author":"Almgren Robert","year":"2000","unstructured":"Robert Almgren and Neil Chriss . 2000. Optimal execution of portfolio transactions. Journal of Risk ( 2000 ), 5--39. Robert Almgren and Neil Chriss. 2000. Optimal execution of portfolio transactions. Journal of Risk (2000), 5--39."},{"key":"e_1_3_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.1.69"},{"key":"e_1_3_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1099717"},{"key":"e_1_3_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-017-0335-5"},{"key":"e_1_3_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"e_1_3_2_1_6_1","volume-title":"Non-Gaussian Merton-Black-Scholes Theory","author":"Boyarchenko Svetlana","unstructured":"Svetlana Boyarchenko and Sergei Z Levendorskii . 2002. Non-Gaussian Merton-Black-Scholes Theory . Vol. 9 . World Scientific . Svetlana Boyarchenko and Sergei Z Levendorskii. 2002. Non-Gaussian Merton-Black-Scholes Theory. Vol. 9. World Scientific."},{"key":"e_1_3_2_1_7_1","volume-title":"Random forests. Machine learning 45, 1","author":"Breiman Leo","year":"2001","unstructured":"Leo Breiman . 2001. Random forests. Machine learning 45, 1 ( 2001 ), 5--32. Leo Breiman. 2001. Random forests. Machine learning 45, 1 (2001), 5--32."},{"key":"e_1_3_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2019.1571683"},{"key":"e_1_3_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.3905\/jfds.2020.1.052"},{"key":"e_1_3_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2017.1393551"},{"key":"e_1_3_2_1_11_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/6.2.327"},{"key":"e_1_3_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/0893-6080(91)90009-T"},{"key":"e_1_3_2_1_13_1","volume-title":"Deep hedging under rough volatility. Available at SSRN 3778043","author":"Horvath Blanka","year":"2021","unstructured":"Blanka Horvath , Josef Teichmann , and Zan Zuric . 2021. Deep hedging under rough volatility. Available at SSRN 3778043 ( 2021 ). Blanka Horvath, Josef Teichmann, and Zan Zuric. 2021. Deep hedging under rough volatility. Available at SSRN 3778043 (2021)."},{"key":"e_1_3_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1080\/00014788.2019.1618695"},{"key":"e_1_3_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb00081.x"},{"key":"e_1_3_2_1_16_1","doi-asserted-by":"publisher","DOI":"10.3792\/pia\/1195572786"},{"key":"e_1_3_2_1_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.inffus.2020.12.010"},{"key":"e_1_3_2_1_18_1","volume-title":"Adam: A method for stochastic optimization. arXiv preprint arXiv:1412.6980","author":"Kingma Diederik P","year":"2014","unstructured":"Diederik P Kingma and Jimmy Ba . 2014 . Adam: A method for stochastic optimization. arXiv preprint arXiv:1412.6980 (2014). Diederik P Kingma and Jimmy Ba. 2014. Adam: A method for stochastic optimization. arXiv preprint arXiv:1412.6980 (2014)."},{"key":"e_1_3_2_1_19_1","volume-title":"Mathematical Models of Financial Derivatives","author":"Kwok Yue-Kuen","unstructured":"Yue-Kuen Kwok . 2008. Introduction to Derivative Instruments . In Mathematical Models of Financial Derivatives . Springer , Berlin , 1--34. Yue-Kuen Kwok. 2008. Introduction to Derivative Instruments. In Mathematical Models of Financial Derivatives. Springer, Berlin, 1--34."},{"key":"e_1_3_2_1_20_1","first-page":"77","article-title":"Portfolio Selection","volume":"7","author":"Markowitz Harry","year":"1952","unstructured":"Harry Markowitz . 1952 . Portfolio Selection . The Journal of Finance 7 , 1 (1952), 77 -- 91 . http:\/\/www.jstor.org\/stable\/2975974 Harry Markowitz. 1952. Portfolio Selection. The Journal of Finance 7, 1 (1952), 77--91. http:\/\/www.jstor.org\/stable\/2975974","journal-title":"The Journal of Finance"},{"key":"e_1_3_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/3003143"},{"key":"e_1_3_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1002\/cem.873"},{"key":"e_1_3_2_1_23_1","doi-asserted-by":"publisher","DOI":"10.5555\/1953048.2078195"},{"key":"e_1_3_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1257\/0895330042162340"},{"key":"e_1_3_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-012-1243-x"},{"key":"e_1_3_2_1_26_1","volume-title":"Hedging with linear regressions and neural networks. Journal of Business and Economic Statistics","author":"Ruf Johannes","year":"2020","unstructured":"Johannes Ruf and Weiguan Wang . 2020. Hedging with linear regressions and neural networks. Journal of Business and Economic Statistics ( 2020 ). Johannes Ruf and Weiguan Wang. 2020. Hedging with linear regressions and neural networks. Journal of Business and Economic Statistics (2020)."},{"key":"e_1_3_2_1_27_1","doi-asserted-by":"crossref","unstructured":"Edoardo Vittori Michele Trapletti and Marcello Restelli. 2020. Option Hedging with Risk Averse Reinforcement Learning. arXiv:2010.12245 [q-fin.TR]  Edoardo Vittori Michele Trapletti and Marcello Restelli. 2020. Option Hedging with Risk Averse Reinforcement Learning. arXiv:2010.12245 [q-fin.TR]","DOI":"10.1145\/3383455.3422532"},{"key":"e_1_3_2_1_28_1","doi-asserted-by":"publisher","DOI":"10.1057\/palgrave.jors.2601769"}],"event":{"name":"ICAIF'21: 2nd ACM International Conference on AI in Finance","location":"Virtual Event","acronym":"ICAIF'21","sponsor":["ACM Association for Computing Machinery"]},"container-title":["Proceedings of the Second ACM International Conference on AI in Finance"],"original-title":[],"link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3490354.3494392","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/3490354.3494392","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,17]],"date-time":"2025-06-17T19:30:42Z","timestamp":1750188642000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3490354.3494392"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2021,11,3]]},"references-count":28,"alternative-id":["10.1145\/3490354.3494392","10.1145\/3490354"],"URL":"https:\/\/doi.org\/10.1145\/3490354.3494392","relation":{},"subject":[],"published":{"date-parts":[[2021,11,3]]},"assertion":[{"value":"2022-05-04","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}