chrischia06 / Mean-Variance-Hedging
Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies π
β14Updated 3 years ago
Alternatives and similar repositories for Mean-Variance-Hedging:
Users that are interested in Mean-Variance-Hedging are comparing it to the libraries listed below
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.β12Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.β10Updated 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 prβ¦β12Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.β26Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elastβ¦β13Updated last year
- Quant finance scriptsβ15Updated 4 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.β14Updated 3 years ago
- Repository attached to the paper with the same name.β20Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Modelβ23Updated 2 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.β12Updated 4 years ago
- β26Updated 5 months ago
- This repo is for my articles published on Medium.comβ16Updated last year
- Calibration and pricing options in Heston modelβ12Updated 7 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations β¦β12Updated 6 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedgingβ15Updated 4 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.β16Updated 2 years ago
- An xVA quantitative library written in python using tensorflowβ17Updated last week
- Vanna-volga pricer for fx optionsβ9Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimizationβ12Updated 4 months ago
- This course focuses on computational methods in option and interest rate, productβs pricing and model calibration. The first module will β¦β10Updated 2 years ago
- β18Updated 6 years ago
- A Deep Learning Framework for Neural Derivative Hedgingβ30Updated 3 years ago
- SABR Implied volatility asymptoticsβ22Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.β14Updated 2 years ago
- Arbitrage free SVI Surfaceβ13Updated 7 years ago
- Run hierarchical risk parity algorithmsβ24Updated this week
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooksβ39Updated 4 years ago
- Construction of local volatility surface by using SABRβ27Updated 7 years ago
- Price options analytically given stock price characteristic functionβ15Updated 9 years ago
- Calibration of a Surface SVIβ12Updated 6 years ago