ashish1610dhiman / pinn_option_pricingLinks
Scientific Machine Learning for Option Pricing
☆29Updated last year
Alternatives and similar repositories for pinn_option_pricing
Users that are interested in pinn_option_pricing are comparing it to the libraries listed below
Sorting:
- Applying Differential Machine Learning to Calibrate Heston Model☆22Updated 2 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- We implement the paper: Deep Learning Volatility☆202Updated 5 years ago
- Solving high-dimensional Partial Differential Equations with Deep Learning☆27Updated 6 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆135Updated last year
- This code is for the book☆355Updated 9 months ago
- Python implementation of fractional brownian motion☆64Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Use the Finite Difference method to price European, American and Bermudan options.☆22Updated 5 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆129Updated 5 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆125Updated 2 months ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆40Updated last week
- Options Pricing using Finite Difference Methods☆16Updated 8 years ago
- ☆37Updated last year
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- ☆79Updated 4 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆130Updated 9 months ago
- Deep BSDE solver in TensorFlow☆287Updated 8 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆33Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Python for Finance module for Imperial MSc in Mathematics and Finance☆114Updated last month
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆205Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆59Updated 6 months ago
- Deep Learning Statistical Arbitrage☆251Updated 3 years ago