Implementation of "A deep solver for BSDEs with jumps"
☆17Nov 14, 2024Updated last year
Alternatives and similar repositories for DeepBsdeSolverWithJumps
Users that are interested in DeepBsdeSolverWithJumps are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- ☆12Dec 21, 2022Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆18Sep 22, 2024Updated 2 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆21May 29, 2020Updated 6 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Deep BSDE solver in Pytorch☆13Nov 12, 2024Updated last year
- High performance hybrid Monte Carlo simulation☆10Updated this week
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆14Aug 25, 2022Updated 4 years ago
- Deep BSDE solver in TensorFlow☆297Apr 18, 2025Updated last year
- Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving t…☆26Jun 14, 2024Updated 2 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- Calibration and Simulation Engine for Local Volatility Models☆16Dec 13, 2021Updated 4 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆11Sep 12, 2026Updated 2 weeks ago
- A lean package to estimate financial asset betas☆14Feb 12, 2023Updated 3 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- A numerical library for High-Dimensional option Pricing problems, including Fourier transform methods, Monte Carlo methods and the Deep G…☆29May 22, 2020Updated 6 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆16Oct 15, 2021Updated 4 years ago
- MATLAB code for Combined Hybrid-Parallel Prediction☆10Nov 14, 2022Updated 3 years ago
- B-Spline Density Estimation Library - nonparametric density estimation using B-Spline density estimator from univariate sample.☆16Aug 22, 2021Updated 5 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Feb 26, 2020Updated 6 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆17Jul 3, 2021Updated 5 years ago
- Deep Optimal Stopping Project☆16Jun 8, 2019Updated 7 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆20Jun 10, 2022Updated 4 years ago
- ☆24Apr 1, 2022Updated 4 years ago
- Double Deep Q-Learning for Optimal Execution implementation☆10Apr 30, 2023Updated 3 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆22Aug 20, 2024Updated 2 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆24Jun 24, 2022Updated 4 years ago
- Special-purpose numerical integrators for spacecraft attitude dynamics☆12Feb 4, 2016Updated 10 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Feb 21, 2020Updated 6 years ago
- Accompanying code for "Weak form generalized Hamiltonian learning"☆11Feb 13, 2021Updated 5 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆58Apr 17, 2024Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Volatility models for stock prices using deep learning and mixture models.☆15Aug 20, 2022Updated 4 years ago