YuMan-Tam / deep-hedgingLinks
Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
☆162Updated 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
Sorting:
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆201Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆121Updated last year
- ☆152Updated 5 years ago
- ☆50Updated 5 years ago
- A Python implementation of the rough Bergomi model.☆133Updated 7 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆129Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆124Updated last month
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- ☆73Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆191Updated 3 months ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆204Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆117Updated 10 months ago
- PyTorch-based framework for Deep Hedging☆329Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆101Updated 8 months ago
- Surface SVI parameterisation and corresponding local volatility☆53Updated 5 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆126Updated 9 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.☆206Updated last year
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- ☆208Updated 2 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆57Updated 6 months ago
- Deep Learning Statistical Arbitrage☆248Updated 3 years ago
- ☆36Updated last year
- Research Repo (Archive)☆74Updated 5 years ago
- Python Financial ENGineering (PyFENG package in PyPI.org)☆176Updated 3 months ago