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.
☆30Updated 5 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☆66Updated last year
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 5 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆17Updated last year
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- ☆50Updated 5 years ago
- ☆11Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Baruch MFE 2019 Spring☆40Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Updated 2 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆31Updated last year
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 3 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆11Updated 4 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 3 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- ☆36Updated last year
- Baruch MFE MTH9894☆13Updated 8 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Basic Limit Order Book functions☆22Updated 7 years ago