YuMan-Tam / deep-hedging
Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
☆153Updated 4 years ago
Alternatives and similar repositories for deep-hedging:
Users that are interested in deep-hedging are comparing it to the libraries listed below
- We implement the paper: Deep Learning Volatility☆182Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆151Updated last month
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Neural network local volatility with dupire formula☆75Updated 3 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆59Updated last month
- ☆149Updated 4 years ago
- ☆46Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆84Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆117Updated 6 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆179Updated 3 months ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆141Updated 8 months ago
- ☆69Updated 4 years ago
- CS7641 Team project☆93Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆106Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 10 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆72Updated 3 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Deep Learning Statistical Arbitrage☆215Updated 2 years ago
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆160Updated 3 years ago
- Notebooks based on financial machine learning.☆47Updated 4 years ago
- PyTorch-based framework for Deep Hedging☆272Updated 5 months ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆89Updated 2 weeks ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆108Updated 4 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆128Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆95Updated last month
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆69Updated 4 years ago
- ☆191Updated last year
- Notes on Advances in Financial Machine Learning☆76Updated 6 years ago