YuMan-Tam / deep-hedging
Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
☆155Updated 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☆185Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆116Updated last year
- A Python implementation of the rough Bergomi model.☆119Updated 6 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆45Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆153Updated last month
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆181Updated 3 months ago
- three stochastic volatility model: Heston, SABR, SVI☆85Updated 6 years ago
- ☆69Updated 4 years ago
- ☆149Updated 4 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆147Updated 9 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆74Updated 3 years ago
- ☆47Updated 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☆108Updated 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆62Updated 2 months ago
- ☆196Updated last year
- PortfolioLab is a python library that enables traders to take advantage of the latest portfolio optimisation algorithms used by professio…☆161Updated 3 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆52Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Deep Learning Statistical Arbitrage☆216Updated 2 years ago
- A collection of homeworks of market microstructure models.☆223Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆96Updated last month
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆95Updated 2 weeks ago
- Deep Reinforcement Learning for Portfolio Optimization☆110Updated 4 years ago
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆202Updated last month
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆129Updated 6 years ago
- ☆209Updated 7 years ago
- Quantamental finance research with python☆145Updated 2 years ago