alexandrecarbonneau / Equal-risk-pricing-with-deep-hedgingLinks
This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020). Equal Risk Pricing of Derivatives with Deep Hedging.
โ15Updated 4 years ago
Alternatives and similar repositories for Equal-risk-pricing-with-deep-hedging
Users that are interested in Equal-risk-pricing-with-deep-hedging are comparing it to the libraries listed below
Sorting:
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies ๐โ16Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.โ32Updated 5 years ago
- Repository attached to the paper with the same name.โ21Updated 4 years ago
- Quant finance scriptsโ16Updated 6 months ago
- โ16Updated 3 years ago
- Markov decision processes under model uncertaintyโ17Updated 3 years ago
- โ19Updated 8 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkageโ23Updated 3 years ago
- Mean-Variance Optimization using DL (pytorch)โ31Updated 3 years ago
- Neural network local volatility with dupire formulaโ79Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.โ28Updated 2 years ago
- Deep Optimal Stopping Projectโ15Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.โ36Updated 7 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Modelโ25Updated 2 years ago
- โ50Updated 5 years ago
- โ36Updated last year
- Calibration and pricing options in Heston modelโ13Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.โ54Updated 2 years ago
- โ12Updated last year
- Deep Reinforcement Learning for Portfolio Optimizationโ129Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curveโ38Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.โ15Updated 3 years ago
- code for "Optimal Stopping via Randomized Neural Networks"โ59Updated last year
- A modification of traditional random forest for time-series forecastingโ12Updated last year
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677โ65Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependentโ70Updated last year
- This is a course project of the course ยซ Machine Learning for Finance ยป at ENSAE ParisTech.โ52Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.โ10Updated 6 months ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashionโ18Updated last year
- โ67Updated 4 months ago