JamesSullivan / temporalCN

Related projects: ⓘ

• ICascha / QuantGANs-replication
  Codes for my thesis project: replicating and modifying quant GANs.
  ☆16Updated 3 years ago
• KseniaKingsep / quantgan
  Quant GAN from [Wiese et al., Quant GANs: Deep Generation of Financial Time Series, 2019]
  ☆17Updated 3 years ago
• imanolperez / market_simulator
  Market simulator
  ☆56Updated 4 years ago
• stakahashy / fingan
  The implementation of "modeling financial time-series with generative adversarial networks"
  ☆56Updated last year
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆46Updated last year
• vanessa-pizante / Deep-Optimal-Stopping
  Deep Optimal Stopping Project
  ☆16Updated 5 years ago
• milenavuletic / Fin-GAN
  Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"
  ☆72Updated 6 months ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆23Updated 4 years ago
• CasperHogenboom / WGAN_financial_time-series
  Thesis project done on Generation Financial Time-Series with GANs. The project was a collaboration between Wholesale Banking Advanced Ana…
  ☆64Updated 4 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆20Updated 10 months ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆50Updated 5 months ago
• tdmdal / rl-hedge-2019
  ☆43Updated 4 years ago
• YukiYasuda2718 / rl-bsmodel-with-costs
  Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…
  ☆19Updated 4 years ago
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆28Updated 3 weeks ago
• LeonardoBerti00 / Axial-LOB-High-Frequency-Trading-with-Axial-Attention
  Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'
  ☆43Updated last year
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆24Updated last year
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆36Updated 4 years ago
• msabvid / robust_nsde
  Robust pricing and hedging via Neural SDEs
  ☆29Updated 3 years ago
• asridi / DML-Calibration-Heston-Model
  Applying Differential Machine Learning to Calibrate Heston Model
  ☆14Updated 11 months ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆31Updated 2 years ago
• rotmanfinhub / gamma-vega-rl-hedging
  ☆26Updated 3 months ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆20Updated 3 years ago
• HeKrRuTe / OptStopRandNN
  code for "Optimal Stopping via Randomized Neural Networks"
  ☆47Updated 5 months ago
• ytliu74 / FactorVAE
  Reproduce AAAI22-FactorVAE
  ☆53Updated last year
• Yizhan-Oliver-Shu / jump-models
  ☆21Updated 4 months ago
• pfnet-research / NoTransactionBandNetwork
  Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".
  ☆30Updated 3 years ago
• alexandrecarbonneau / Equal-risk-pricing-with-deep-hedging
  This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…
  ☆15Updated 2 years ago
• SigCGANs / Sig-Wasserstein-GANs
  ☆20Updated last year
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆16Updated 3 years ago
• kieranjwood / x-trend
  X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies
  ☆57Updated 6 months ago