Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures
☆23Feb 21, 2024Updated 2 years ago
Alternatives and similar repositories for RL-DynamicConvexRisk
Users that are interested in RL-DynamicConvexRisk are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Risk-Averse Distributional Reinforcement Learning: Code☆28Nov 25, 2018Updated 7 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 6 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- C++ option pricing library on vanillas & exotics, Python volatility calibration library☆22Aug 20, 2024Updated last year
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Dec 2, 2017Updated 8 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- Official implementation of the algorithmic approach presented in the research paper entitled "Risk-Sensitive Policy with Distributional R…☆15Dec 19, 2022Updated 3 years ago
- ARIMA & GARCH models for stock price prediction☆27Sep 13, 2020Updated 5 years ago
- 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
- 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
- Special-purpose numerical integrators for spacecraft attitude dynamics☆13Feb 4, 2016Updated 10 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- Thesis project about Unsupervised anomaly detection on the streaming time-series data of porfolio risk measures and returns.☆23May 31, 2018Updated 8 years ago
- A stock price prediction model based on ARMA and GARCH☆24Jun 21, 2024Updated 2 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆96Jan 11, 2022Updated 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
- ☆30Jul 21, 2023Updated 2 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆17Nov 14, 2024Updated last year
- Operator Deep Smoothing☆16May 22, 2026Updated 3 weeks ago
- ☆12Feb 7, 2021Updated 5 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Nov 28, 2019Updated 6 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 4 years ago
- Risk-sensitive Inverse Reinforcement Learning☆11Sep 11, 2019Updated 6 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆15Jul 6, 2021Updated 4 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- Testing and implementation of ML algorithms for the analysis of cryptocurrency trends.☆11Feb 20, 2024Updated 2 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- 一款高性能的穿透网闸架构☆15Mar 23, 2021Updated 5 years ago
- The codebase contains the implementation for the paper "An asset subset-constrained minimax optimization framework for online portfolio s…☆11Dec 3, 2024Updated last year
- Perform Bayesian record linkage with a one-to-one matching assumption.☆11Jul 9, 2020Updated 5 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 5 years ago
- Stochastic models to price financial options☆24Dec 7, 2020Updated 5 years ago
- Gymnasium environment for research of UAVs and risk constraints☆12Oct 29, 2024Updated last year
- ☆11Sep 5, 2024Updated last year