Frédéric Godin

12 papers A 1Journal 10Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
Deep Reinforcement Learning Algorithms for Option Hedging.
CoRR
Andrei Neagu, Frédéric Godin, Leila Kosseim
2025 J jnl
Learning to Hedge Swaptions.
CoRR
Zaniar Ahmadi, Frédéric Godin
2024 J jnl
Catastrophic-risk-aware reinforcement learning with extreme-value-theory-based policy gradients.
CoRR
Parisa Davar, Frédéric Godin, Jose Garrido
2024 — conf
Deep Hedging with Market Impact.
Canadian AI
Andrei Neagu, Frédéric Godin, Clarence Simard, Leila Kosseim
2024 J jnl
Deep Hedging with Market Impact.
CoRR
Andrei Neagu, Frédéric Godin, Clarence Simard, Leila Kosseim
2024 J jnl
Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information.
CoRR
Pascal François, Geneviève Gauthier, Frédéric Godin, Carlos Octavio Pérez Mendoza
2024 J jnl
Survival Multiarmed Bandits with Bootstrapping Methods.
CoRR
Peter Veroutis, Frédéric Godin
2023 J jnl
Linear pretraining in recurrent mixture density networks.
CoRR
Hubert Normandin-Taillon, Frédéric Godin, Chun Wang
2021 A conf
Bias-corrected peaks-over-threshold estimation of the CVaR.
UAI
Dylan Troop, Frédéric Godin, Jia Yuan Yu
2021 J jnl
Risk averse non-stationary multi-armed bandits.
CoRR
Leo Benac, Frédéric Godin
2019 J jnl
Risk-Averse Action Selection Using Extreme Value Theory Estimates of the CVaR.
CoRR
Dylan Troop, Frédéric Godin, Jia Yuan Yu
2014 J jnl
Optimal hedging when the underlying asset follows a regime-switching Markov process.
Eur. J. Oper. Res.
Pascal François, Geneviève Gauthier, Frédéric Godin