asridi / DML-Calibration-Heston-Model
Applying Differential Machine Learning to Calibrate Heston Model
☆14Updated 11 months ago
Related projects: ⓘ
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆46Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆27Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆23Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆37Updated last year
- ☆13Updated 3 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Baruch MFE program quant lab☆21Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆20Updated 10 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆16Updated 3 years ago
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆72Updated 6 months ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆19Updated 10 months ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆11Updated last year
- ☆15Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆18Updated 6 years ago
- Calibration and pricing options in Heston model☆12Updated 6 years ago
- Financial Strategy Resources☆12Updated 2 years ago
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆50Updated 5 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆86Updated this week
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆17Updated 4 years ago
- Deep Neural Networks for Options Pricing (Python)☆40Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆9Updated 2 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆42Updated 5 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆30Updated 4 years ago
- ☆22Updated 7 months ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆70Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 5 years ago