asridi / DML-Calibration-Heston-ModelLinks
Applying Differential Machine Learning to Calibrate Heston Model
☆21Updated 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 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆37Updated 2 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Entropy Pooling in Python with a BSD 3-Clause license.☆41Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆121Updated 3 weeks ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆86Updated 3 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- By means of stochastic volatility models☆44Updated 5 years ago
- baruch mfe mth9814 financial instruments☆16Updated 7 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆96Updated 7 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Code for the paper "Hedging with linear regressions and neural networks"☆38Updated 4 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆52Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- We implement the rough Heston model☆15Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15Updated 3 years ago
- Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (includi…☆122Updated 8 months ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 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
- ☆36Updated last year
- 📒 A collection of notes exploring Quantitative Finance concepts with Python☆89Updated last month
- An xVA quantitative library written in python using tensorflow☆17Updated last week