LRydin / jumpdiffLinks
JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
☆44Updated 2 years ago
Alternatives and similar repositories for jumpdiff
Users that are interested in jumpdiff are comparing it to the libraries listed below
Sorting:
- ☆67Updated last week
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆75Updated 5 months ago
- Implementation of "A deep solver for BSDEs with jumps"☆14Updated 7 months ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- ☆19Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆62Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 7 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- ☆14Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- ☆27Updated last week
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Non-Linear Covariance Shrinkage☆14Updated 3 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆34Updated 2 years ago
- Multivariate GARCH modelling in Python☆16Updated 7 months ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- ☆27Updated last month
- ☆17Updated 3 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago