alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
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
- Code for the paper Volatility is (mostly) path-dependent☆60Updated last year
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆14Updated 11 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆24Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆31Updated last year
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- ☆21Updated 5 years ago
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- ☆49Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆32Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆9Updated 3 weeks ago
- ☆32Updated 11 months ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆16Updated 2 years ago
- Delta hedging under SABR model☆30Updated 11 months ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- An xVA quantitative library written in python using tensorflow☆18Updated this week
- Statistical Jump Models in Python, with scikit-learn-style APIs☆68Updated 3 months ago
- ☆50Updated 7 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Baruch MFE MTH9894☆12Updated 7 years ago
- ☆19Updated 6 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆12Updated 9 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated last month