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

• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆63Updated last year
• tdmdal / rl-hedge-2019
  ☆50Updated 4 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆50Updated 6 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆23Updated 7 years ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆13Updated 7 years ago
• rfbressan / py_ssvi
  Calibration of a Surface SVI
  ☆13Updated 6 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆17Updated last year
• jgatheral / RationalRoughHeston
  ☆11Updated last year
• Idriss-Afra / Stochastic-Volatility-Inspired-Model
  This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.
  ☆10Updated 3 months ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆40Updated 5 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆77Updated 4 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
• JackJacquier / SABR-Implied-Volatility
  SABR Implied volatility asymptotics
  ☆22Updated 5 years ago
• adityadj98 / Computational-Methods-in-Pricing-and-Model-Calibration-Columbia-University
  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
• am3p / python
  ☆8Updated 9 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆120Updated last year
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 3 years ago
• rotmanfinhub / gamma-vega-rl-hedging
  ☆35Updated last year
• ck2w / baruch-mfe-lab
  Baruch MFE program quant lab
  ☆27Updated 7 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆34Updated 2 years ago
• sle14 / Options-market-making-using-a-stochastic-control-approach
  Derivation of analytical expressions of optimal quotes for market making in options.
  ☆19Updated 3 years ago
• yc-liu / mth9814
  baruch mfe mth9814 financial instruments
  ☆15Updated 7 years ago
• echalkpad / MTH9894-Algo-Trading
  Baruch MFE MTH9894
  ☆13Updated 8 years ago
• ymh1989 / SABR_local_vol
  Construction of local volatility surface by using SABR
  ☆30Updated 8 years ago
• YuSunBaruch / MTH9894_Systematic_Trading-1
  This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course
  ☆15Updated 8 years ago
• thedatabeat / SVI
  ☆51Updated 8 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆90Updated 6 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆79Updated 6 months ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago