chaozhang-ox / Tail-GANLinks
code scripts for Tail-GAN: Learning to Simulate Tail Risk Scenarios
☆21Updated 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
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆44Updated 10 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆55Updated 2 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆135Updated last year
- ☆29Updated 2 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆83Updated 11 months ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆33Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- Transformer and MultiTransformer layers for stock volatility forecasting purposes☆73Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆56Updated 4 months ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆37Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52Updated 5 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- implementation of the two-factor quintic OU model☆10Updated 8 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- Official Implementation of SimStock : Representation Model for Stock Similarities☆86Updated last year
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆101Updated 8 months ago
- ☆61Updated last year
- Market simulator☆61Updated 5 years ago
- Implementation of a variety of Value-at-Risk backtests☆42Updated 6 years ago
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆22Updated last year
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- ☆77Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- ☆78Updated 4 years ago
- Thesis project done on Generation Financial Time-Series with GANs. The project was a collaboration between Wholesale Banking Advanced Ana…☆71Updated 5 years ago
- Implementation of Feature Saliency Hidden Markov Model (Adams, et al, 2016)☆13Updated 3 years ago