chrischia06 / Mean-Variance-HedgingLinks
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
Sorting:
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.β10Updated 7 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.β12Updated 8 years ago
- Quant finance scriptsβ16Updated 2 months ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.β15Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.β29Updated 4 years ago
- Calibration and pricing options in Heston modelβ13Updated 7 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedgingβ15Updated 5 years ago
- Calibration of a Surface SVIβ13Updated 6 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)β¦β15Updated 3 years ago
- SABR Implied volatility asymptoticsβ22Updated 5 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Modelβ24Updated 2 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
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elastβ¦β14Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option prβ¦β13Updated 4 years 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
- Arbitrage free SVI Surfaceβ14Updated 7 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooksβ38Updated 4 years ago
- β11Updated last year
- Derivation of analytical expressions of optimal quotes for market making in options.β19Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimizationβ14Updated 9 months ago
- β19Updated 7 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.β10Updated 2 months ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.β14Updated 3 years ago
- β12Updated 2 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weideβ7Updated 6 years ago
- Repository attached to the paper with the same name.β21Updated 4 years ago
- Construction of local volatility surface by using SABRβ30Updated 8 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".β11Updated 3 years ago
- Prices an FX option and creates a volatility surface.β8Updated 7 years ago
- Vanna-volga pricer for fx optionsβ9Updated 6 years ago