chaozhang-ox / Tail-GANLinks
code scripts for Tail-GAN: Learning to Simulate Tail Risk Scenarios
☆19Updated last month
Alternatives and similar repositories for Tail-GAN
Users that are interested in Tail-GAN are comparing it to the libraries listed below
Sorting:
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆132Updated last year
- ☆29Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆16Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated 11 months ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆43Updated 10 months ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Deep Optimal Stopping Project☆15Updated 6 years ago
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆73Updated 4 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
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆50Updated 5 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆60Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated last year
- Quant GAN from [Wiese et al., Quant GANs: Deep Generation of Financial Time Series, 2019]☆22Updated 4 years ago
- ☆23Updated 2 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆33Updated last year
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Market simulator☆61Updated 5 years ago
- Bayesian Optimization of Risk Measures☆21Updated last year
- Applying Differential Machine Learning to Calibrate Heston Model☆21Updated 2 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆128Updated 5 years ago
- Conformal Prediction - A Practical Guide with MAPIE☆17Updated last year
- Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)☆13Updated 2 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Updated 2 years ago
- Winner-takes-all for Multivariate Probabilistic Time Series Forecasting☆51Updated 3 months ago
- ☆77Updated 4 years ago
- Official Implementation of SimStock : Representation Model for Stock Similarities☆86Updated last year