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- W4313259397 abstract "Four deep generative methods for time series are studied on commodity markets and compared with classical probabilistic models. The lack of data in the case of deep hedgers is a common flaw, which deep generative methods seek to address. In the specific case of commodities, it turns out that these generators can also be used to refine the price models by tackling the high-dimensional challenges. In this work, the synthetic time series of commodity prices produced by such generators are studied and then used to train deep hedgers on various options. A fully data-driven approach to commodity risk management is thus proposed, from synthetic price generation to learning risk hedging policies." @default.
- W4313259397 created "2023-01-06" @default.
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- W4313259397 date "2022-12-23" @default.
- W4313259397 modified "2023-10-01" @default.
- W4313259397 title "Deep Generators on Commodity Markets Application to Deep Hedging" @default.
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- W4313259397 doi "https://doi.org/10.3390/risks11010007" @default.
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