Andres-Hernandez / CalibrationNN
Model Calibration with Neural Networks
☆47Updated 6 years ago
Related projects ⓘ
Alternatives and complementary repositories for CalibrationNN
- Pricing the Term Structure with Linear Regressions☆35Updated 6 years ago
- ☆18Updated 6 years ago
- Material for Antoine Savine's Computational Finance Lectures at Copenhagen University & Kings College London☆62Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Replication of key GARCH model papers☆31Updated 8 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆43Updated 7 years ago
- Neural network local volatility with dupire formula☆73Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 7 years ago
- ☆19Updated 2 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆20Updated 2 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- Non-Linear Covariance Shrinkage☆14Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆45Updated 4 years ago
- Estimating Value-at-Risk with a recurrent neural network (Jordan type) GARCH model☆66Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- My codework for my economics undergraduate thesis titled "Empirical Asset Pricing via Deep Learning"☆46Updated 4 years ago
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- Implementation of a variety of Value-at-Risk backtests☆35Updated 5 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Tutorials about Machine Learning and Deep Learning☆29Updated 6 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 8 months ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆43Updated 4 years ago