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T. Sakuma

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Preprint Jul 2026

Robust Hedging Valuation Adjustment for Deep Hedging Policies under Market Frictions

Robust hedging valuation adjustment (HVA) is applied as a post-training valuation-adjustment layer that evaluates tracking-loss CVaR together with explicit funding and margin add-ons together with explicit funding and margin add-ons.

T. Sakuma · 0 citations