alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-DerivativesLinks
This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
☆28Updated 4 years ago
Alternatives and similar repositories for Deep-Hedging-of-Long-Term-Financial-Derivatives
Users that are interested in Deep-Hedging-of-Long-Term-Financial-Derivatives are comparing it to the libraries listed below
Sorting:
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- ☆33Updated last year
- Calibration of a Surface SVI☆13Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Delta hedging under SABR model☆32Updated last year
- ☆49Updated 4 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆32Updated last year
- Basic Limit Order Book functions☆21Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- SABR Implied volatility asymptotics☆22Updated 5 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated last month
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- ☆49Updated 4 years ago
- ☆14Updated 3 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- ☆19Updated 6 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated last week
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago