code for "Optimal Stopping via Randomized Neural Networks"
☆58Apr 17, 2024Updated last year
Alternatives and similar repositories for OptStopRandNN
Users that are interested in OptStopRandNN are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Deep Optimal Stopping Project☆16Jun 8, 2019Updated 6 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆21May 29, 2020Updated 5 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- Serverless GPU API endpoints on Runpod - Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- ☆12Dec 21, 2022Updated 3 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- Code for master thesis project, GANs for Monte Carlo simulation of SDE paths. Also used for paper on arXiv.☆10Mar 7, 2023Updated 3 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago
- Robust pricing and hedging via Neural SDEs☆37Aug 4, 2021Updated 4 years ago
- ☆10Nov 4, 2018Updated 7 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Feb 15, 2022Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆19Aug 6, 2020Updated 5 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Jan 17, 2021Updated 5 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆53Aug 30, 2020Updated 5 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆17Nov 14, 2024Updated last year
- Wordpress hosting with auto-scaling - Free Trial • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- A DQN agent that optimally hedges an options portfolio.☆25Feb 4, 2020Updated 6 years ago
- Valuing Real Options with Least Squares Monte Carlo in Python☆11Jan 14, 2018Updated 8 years ago
- Method of Simulated Moments☆12Feb 23, 2022Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆121Apr 5, 2019Updated 7 years ago
- ☆15Jul 9, 2022Updated 3 years ago
- Code for replication of working paper version of The Art of Temporal Approximation☆13May 8, 2024Updated last year
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆53May 13, 2020Updated 5 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆21Aug 20, 2024Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- Deep BSDE solver in TensorFlow☆291Apr 18, 2025Updated 11 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆40May 14, 2021Updated 4 years ago
- A Python implementation of the rough Bergomi model.☆142Sep 17, 2018Updated 7 years ago
- ☆18Feb 13, 2022Updated 4 years ago