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Deep Hedging under Market Frictions

This project compares two hedging strategies in the presence of transaction costs:

  • Delta Hedging (Black-Scholes-based)
  • Deep Hedging (neural networks trained to minimise hedging risk)

The goal is to evaluate the performance of data-driven hedging under realistic market frictions.


Structure

  • src/: simulation and strategy code
  • notebooks/: result visualisations

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Deep Hedging under market frictions.

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