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
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Python code for dynamic facctor model. (Preliminary and in progress)☆22Dec 2, 2017Updated 8 years ago
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 6 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 6 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- ☆10Nov 4, 2018Updated 7 years ago
- Special-purpose numerical integrators for spacecraft attitude dynamics☆12Feb 4, 2016Updated 10 years ago
- ARIMA & GARCH models for stock price prediction☆27Sep 13, 2020Updated 6 years ago
- A stock price prediction model based on ARMA and GARCH☆25Jun 21, 2024Updated 2 years ago
- Official implementation of the algorithmic approach presented in the research paper entitled "Risk-Sensitive Policy with Distributional R…☆16Dec 19, 2022Updated 3 years ago
- ATP: Directed Graph Embedding with Asymmetric Transitivity Preservation☆10Apr 18, 2019Updated 7 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆34Jul 28, 2020Updated 6 years ago
- Finding the conditional distributions of a Gaussian Mixture Model☆13Nov 10, 2019Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆97Jan 11, 2022Updated 4 years ago
- VQ-TR repository☆12Apr 18, 2024Updated 2 years ago
- A method to search for a subset of best performing items wrt black-box reward function☆12Jun 7, 2019Updated 7 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 5 years ago
- Advantage Leftover Lunch Reinforcement Learning (A-LoL RL): Improving Language Models with Advantage-based Offline Policy Gradients☆26Sep 10, 2024Updated 2 years ago
- ☆12Feb 7, 2021Updated 5 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Nov 28, 2019Updated 6 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.
- A Reinforcement learning model which applies deterministic policy gradient algorithms to maximize return on portfolio management task☆14Jun 2, 2018Updated 8 years ago
- Code accompanying the paper "Action Robust Reinforcement Learning and Applications in Continuous Control" https://arxiv.org/abs/1901.0918…☆49Apr 14, 2019Updated 7 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- Algorithm which quotes bid and ask prices for a stock and its options continuously by defining a bid-ask spread. Further, outstanding del…☆10Jan 11, 2026Updated 9 months ago
- ☆11Dec 18, 2015Updated 10 years ago
- ☆10Sep 5, 2024Updated 2 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- Risk-sensitive Inverse Reinforcement Learning☆11Sep 11, 2019Updated 7 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 6 years ago
- Framework for the advanced analysis, causal mapping, and predictive forecasting of financial cryptocurrency time series.☆11Jun 23, 2026Updated 3 months ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆16Jul 6, 2021Updated 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 6 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆17Nov 14, 2024Updated last year