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Phillip Murray
Phillip Murray
Verified email at imperial.ac.uk
Title
Cited by
Cited by
Year
Multi-Asset Spot and Option Market Simulation
M Wiese, B Wood, A Pachoud, R Korn, H Buehler, P Murray, L Bai
Available at SSRN, 2021
162021
Deep Hedging: Continuous Reinforcement Learning for Hedging of General Portfolios across Multiple Risk Aversions
P Murray, B Wood, H Buehler, M Wiese, MS Pakkanen
Proceedings of the Third ACM International Conference on AI in Finance, 361–368, 2022
152022
Deep hedging: learning to remove the drift under trading frictions with minimal equivalent near-martingale measures
H Buehler, P Murray, MS Pakkanen, B Wood
arXiv preprint arXiv:2111.07844, 2021
92021
Deep bellman hedging
H Buehler, P Murray, B Wood
arXiv preprint arXiv:2207.00932, 2022
72022
Risk-Neutral Market Simulation
M Wiese, P Murray
AAAI 2022 Workshop on AI in Financial Services: Adaptiveness, Resilience …, 2022
32022
Sig-Splines: universal approximation and convex calibration of time series generative models
M Wiese, P Murray, R Korn
arXiv preprint arXiv:2307.09767, 2023
22023
Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
H Buehler, P Murray, M Pakkanen, B Wood
Available at SSRN 3808555, 2021
2021
Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes
P Murray, R Passeggeri, AED Veraart, MS Pakkanen
arXiv preprint arXiv:2007.06357, 2020
2020
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Articles 1–8