Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage of Options contracts.
☆57Mar 12, 2021Updated 4 years ago
Alternatives and similar repositories for Dynamic-Derivatives-Portfolio-Hedging
Users that are interested in Dynamic-Derivatives-Portfolio-Hedging are comparing it to the libraries listed below
Sorting:
- Options Dynamic Delta Hedge Simulation☆16Sep 23, 2020Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Jul 10, 2021Updated 4 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Disseration for M.S. in Computer Science of class 2018 at HKU☆12Nov 15, 2017Updated 8 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 4 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆76Jun 22, 2022Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Feb 25, 2026Updated last week
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆15Jul 3, 2021Updated 4 years ago
- Option Strategy for Futures☆17Jul 29, 2020Updated 5 years ago
- Repo for Crypto Option Calibration project in CMF☆14Dec 10, 2022Updated 3 years ago
- This porject is for recording my study path in snowball option pricing and its delta hedging☆17Feb 12, 2021Updated 5 years ago
- Tools for stock options trading: finding best cash covered put and covered call to see, find best call to buy, etc. Keywords: Implied Vo…☆50Mar 10, 2025Updated 11 months ago
- A software to shortlist and find the best options spread available for a given stock and help it visualise using payoff graphs.☆91Jul 15, 2023Updated 2 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Sep 22, 2020Updated 5 years ago
- ☆19May 17, 2020Updated 5 years ago
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目