Alternatives and similar repositories for HJB-solver

Users that are interested in HJB-solver are comparing it to the libraries listed below

• edouardberthe / adp-portfolio-selection
  Approximate Dynamic Programming for Portfolio Selection Problem
  ☆56Updated 3 years ago
• MOSEK / Tutorials
  A collection of tutorials for the MOSEK package
  ☆125Updated last month
• MaxGermain / MultistepBSDE
  Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions
  ☆19Updated 5 years ago
• alialaradi / PairsTrading
  MATLAB code to produce results and figures in the paper "Stochastic Optimal Control of Pairs Trading Strategies with Absolute and Relativ…
  ☆15Updated 7 years ago
• davidzhou9 / DeepVol
  Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.
  ☆17Updated 5 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆37Updated last year
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆12Updated 8 years ago
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆36Updated 4 years ago
• comeh / DeepLearningForMDPs
  Some codes used for the numerical examples proposed in https://arxiv.org/abs/1812.05916
  ☆13Updated 6 years ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆22Updated last year
• sduprey / optimal_transaction_execution
  This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB6…
  ☆33Updated 11 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• dppalomar / highOrderPortfolios
  Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis
  ☆26Updated 3 years ago
• cvxgrp / cvxmarkowitz
  ☆32Updated last week
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• AndrewLyasoff / SMAP
  Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2…
  ☆24Updated 4 years ago
• AlessandroGnoatto / DeepBsdeSolverWithJumps
  Implementation of "A deep solver for BSDEs with jumps"
  ☆15Updated last year
• ssanderson / convex-optimization-for-finance
  Talk Materials for "Convex Optimization for Finance"
  ☆30Updated 3 years ago
• sauxpa / ito_diffusions
  Library for stochastic process simulation
  ☆14Updated 2 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• TommasoBelluzzo / HistoricalVolatility
  A framework for historical volatility estimation and analysis.
  ☆35Updated 5 years ago
• acoache / RL-DynamicConvexRisk
  Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures
  ☆23Updated last year
• wangtianyu61 / robust-stochastic-portfolio-optimization
  the codes and some preliminary progress in the work of robust stochastic portfolio optimization
  ☆11Updated 5 years ago
• HeKrRuTe / OptStopRandNN
  code for "Optimal Stopping via Randomized Neural Networks"
  ☆60Updated last year
• Andres-Hernandez / CalibrationNN
  Model Calibration with Neural Networks
  ☆48Updated 7 years ago
• mfrdixon / GP-CVA
  ☆14Updated 6 years ago
• oskarimikkila / Empirical-Deep-Hedging
  ☆17Updated 3 years ago
• dongxy1014 / Bond-Risk-Premia
  Replicate "Bond Risk Premia" by John H. Cochrane, Monika Piazzesi in Python
  ☆12Updated 2 years ago