LRydin / jumpdiffLinks
JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
☆48Updated 2 years ago
Alternatives and similar repositories for jumpdiff
Users that are interested in jumpdiff are comparing it to the libraries listed below
Sorting:
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- ☆67Updated 3 months ago
- ☆20Updated 7 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆58Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- ☆16Updated 5 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆40Updated 4 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆16Updated last year
- ☆15Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆65Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 5 years ago
- ☆28Updated 4 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- Market simulator☆61Updated 5 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 2 months ago