Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
☆162Jan 17, 2021Updated 5 years ago
Alternatives and similar repositories for deep-hedging
Users that are interested in deep-hedging are comparing it to the libraries listed below
Sorting:
- PyTorch-based framework for Deep Hedging☆336Aug 30, 2024Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- A curated list of resources dedicated to Deep Hedging☆87Nov 5, 2022Updated 3 years ago
- ☆155Jun 10, 2020Updated 5 years ago
- ☆37May 23, 2024Updated last year
- Implementation of the vanilla Deep Hedging engine☆322Jan 22, 2026Updated last month
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31May 26, 2021Updated 4 years ago
- Trellis is a Python framework for research into deep hedging☆23May 13, 2021Updated 4 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 4 years ago
- ☆17Jul 9, 2022Updated 3 years ago
- Tutorials about Machine Learning and Deep Learning☆30Nov 9, 2018Updated 7 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 2 years ago
- ☆50Jul 22, 2020Updated 5 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39May 14, 2021Updated 4 years ago
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆23Sep 8, 2023Updated 2 years ago
- ☆12Dec 21, 2022Updated 3 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
- Hedging portfolios with reinforcement learning.☆36Aug 2, 2017Updated 8 years ago
- Tutorials about Quantitative Finance in Python and QuantLib: Pricing, xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep Le…☆174Nov 18, 2018Updated 7 years ago
- Implement the model of Halperin and Feldshteyn for DJIA and SP500☆10Apr 4, 2019Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Oct 15, 2021Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- Neural network local volatility with dupire formula☆79Jun 15, 2021Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 5 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Nov 28, 2019Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆17Jan 7, 2026Updated last month
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆38Oct 3, 2018Updated 7 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Sep 22, 2024Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆125Jan 10, 2024Updated 2 years ago
- Deep Q-Learning for Market Making☆127Jun 12, 2018Updated 7 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆59Apr 17, 2024Updated last year
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆43Apr 6, 2020Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆140Sep 17, 2018Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 6 years ago