报告人：彭献华 副教授（北京大学）

时间：2026年01月29日 10:00-

腾讯会议ID：944 388 370

摘要：We propose a new risk sensitive reinforcement learning approach for the dynamic hedging of options. The approach focuses on the minimization of the tail risk of the final P&L of the seller of an option. Different from most existing reinforcement learning approaches that require a parametric model of the underlying asset, our approach can learn the optimal hedging strategy directly from the historical market data without specifying a parametric model; in addition, the learned optimal hedging strategy is contract-unified, i.e., it applies to different options contracts with different initial underlying prices, strike prices, and maturities. Our approach extends existing reinforcement learning methods by learning the tail risk measures of the final hedging P&L and the optimal hedging strategy at the same time. We carry out comprehensive empirical study to show that, in the out-of-sample tests, the proposed reinforcement learning hedging strategy can obtain statistically significantly lower tail risk and higher mean of the final P&L than delta hedging methods. This is a joint work with Xiang Zhou and Bo Xiao at City University of Hong Kong and Yi Wu from Peking University.

邀请人：张志民

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