Alternatives and similar repositories for RL-DynamicConvexRisk

Users that are interested in RL-DynamicConvexRisk are comparing it to the libraries listed below

• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆35Updated 3 years ago
• vanessa-pizante / Deep-Optimal-Stopping
  Deep Optimal Stopping Project
  ☆15Updated 6 years ago
• HeKrRuTe / OptStopRandNN
  code for "Optimal Stopping via Randomized Neural Networks"
  ☆56Updated last year
• msabvid / robust_nsde
  Robust pricing and hedging via Neural SDEs
  ☆36Updated 3 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆14Updated 9 months ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆35Updated last year
• KangOxford / jax-lob
  JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
  ☆25Updated last year
• oskarimikkila / Empirical-Deep-Hedging
  ☆15Updated 2 years ago
• cvxgrp / covpred
  Covariance prediction via convex optimization
  ☆21Updated 4 years ago
• saitcakmak / BoRisk
  Bayesian Optimization of Risk Measures
  ☆21Updated last year
• Iyengar-Lab / E2E-DRO
  End-to-end distributionally robust optimization
  ☆34Updated 2 years ago
• sauxpa / Quant
  Quant finance scripts
  ☆16Updated 2 months ago
• YukiYasuda2718 / rl-bsmodel-with-costs
  Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…
  ☆21Updated 5 years ago
• cvxgrp / cvxmarkowitz
  ☆27Updated last month
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆35Updated 3 years ago
• MaxGermain / MultistepBSDE
  Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions
  ☆19Updated 5 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆51Updated 2 years ago
• GregorDeCillia / HJB-solver
  Numerical solution of Hamilton Jacobi Bellman equations
  ☆27Updated 10 years ago
• AlessandroGnoatto / DeepBsdeSolverWithJumps
  Implementation of "A deep solver for BSDEs with jumps"
  ☆14Updated 7 months ago
• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆21Updated last year
• kaaaylaaa / causality-based-trading
  ☆20Updated 6 months ago
• rotmanfinhub / gamma-vega-rl-hedging
  ☆35Updated last year
• silvialava / Deep_quadratic_hedging
  ☆12Updated 2 years ago
• Kem975 / Deep_Partial_Least_Squares
  Source code for Deep Partial Least Squares for Empirical Asset Pricing.
  ☆15Updated 3 years ago
• ieshanvaidya / reinforcement-learning-option-pricing
  A DQN agent that optimally hedges an options portfolio.
  ☆24Updated 5 years ago
• anh-tong / sigformer
  SigFormer: Signature Transformer for Deep Hedging (ICAIF 2023)
  ☆17Updated last year
• cvxgrp / lrsm_portfolio
  Portfolio Construction using Stratified Models
  ☆11Updated 4 years ago
• Silvicek / cvar-algorithms
  Risk-Averse Distributional Reinforcement Learning: Code
  ☆28Updated 6 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• cvxgrp / cov_pred_finance
  ☆67Updated last week