smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2026SMQ / 36481386273482
Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning
Edoardo Vittori / Federico Cacciamani / Marco Pinciroli / Michele Trapletti / Roberto Daluiso
optimization / reinforcement learningResource overview

Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning

Paper2026

by Edoardo Vittori, Federico Cacciamani, Marco Pinciroli, Michele Trapletti, Roberto Daluiso

Tags
optimizationreinforcement learningrisk management

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for volatility models and surfaces and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow diffusion-based models and their assumptions.

  2. ARCH and GARCH

    Separate conditional volatility from observed returns.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Stochastic Volatility and the Heston Model

    Study a correlated stochastic-variance model.

  2. Reading the Implied Vol Surface — Moneyness, Term Structure, and Quoting Conventions

    Interpret prices across strikes and expiries.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Advanced Derivatives and Exotic Options Explore Quantitative Risk Management

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Edoardo Vittori, Federico Cacciamani, Marco Pinciroli, Michele Trapletti, Roberto Daluiso

6