asridi / DML-Calibration-Heston-ModelLinks
Applying Differential Machine Learning to Calibrate Heston Model
☆22Updated 2 years ago
Alternatives and similar repositories for DML-Calibration-Heston-Model
Users that are interested in DML-Calibration-Heston-Model are comparing it to the libraries listed below
Sorting:
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 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
- Baruch MFE program quant lab☆30Updated 7 years ago
- baruch mfe mth9814 financial instruments☆16Updated 7 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- ☆37Updated last year
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Updated 3 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆29Updated 2 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated 2 weeks ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Basic Limit Order Book functions☆23Updated 7 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 8 months 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
- ☆16Updated 5 years ago
- SABR Implied volatility asymptotics☆25Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Baruch MFE 2019 Spring☆44Updated 5 years ago
- ☆25Updated 9 months ago
- Price options analytically given stock price characteristic function☆16Updated 10 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆39Updated 4 years ago
- Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market☆18Updated 2 years ago