AlessandroGnoatto / DeepBsdeSolverWithJumps
Implementation of "A deep solver for BSDEs with jumps"
☆13Updated 4 months ago
Alternatives and similar repositories for DeepBsdeSolverWithJumps:
Users that are interested in DeepBsdeSolverWithJumps are comparing it to the libraries listed below
- ☆14Updated 3 years ago
- ☆19Updated 6 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆13Updated 3 weeks ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 6 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆22Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- ☆25Updated last month
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆48Updated 2 months ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆18Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆62Updated 3 weeks ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Regression Monte Carlo for Optimal Stopping☆8Updated last year
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- ☆22Updated 3 years ago
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆36Updated 4 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆49Updated 4 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 10 months ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆11Updated 3 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆38Updated 4 years ago