ebrahimpichka / ml-options-pricing
Pricing Financial Options contracts using LightGBM, Deep Learning, and Support Vector Machines.
☆15Updated last year
Alternatives and similar repositories for ml-options-pricing:
Users that are interested in ml-options-pricing are comparing it to the libraries listed below
- Algorithmic multi-greek hedges using Python☆18Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Implementation of option pricing models using Numba that performs better. This entire project has utilized as little libraries as possibl…☆17Updated 2 years ago
- Source code for Multicriteria Portfolio Construction with Python☆29Updated 3 years ago
- Optimization techniques on the financial area for the hedging, investment starategies, and risk measures☆41Updated 4 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆19Updated 4 years ago
- Factor Investing Library☆22Updated 2 years ago
- Credit Value Adjustment (CVA) calculation for interest rate swaps using a risk neutral Libor Market Model (LMM) calibrated to european sw…☆16Updated 5 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- Crypto-Options Volatility Surface Calibration and Arbitrage☆10Updated 2 years ago
- ☆15Updated this week
- By means of stochastic volatility models☆42Updated 4 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…☆11Updated 3 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 3 months ago
- Financial and Investment Data Science: FinDS Python library and examples for applying quantitative and machine learning methods on struct…☆39Updated 7 months ago
- Statistical Methods in Finance☆14Updated 2 years ago
- ☆26Updated 4 months ago
- Projects are developed for implementing the knowledge gained in the courses studied at World Quant University and meeting the requirement…☆26Updated 4 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆16Updated last year
- Library for simulation and analysis of vanilla and exotic options☆31Updated 4 years ago
- This contains notebooks and scripts used to support my writing in WILMOTT Magazine.☆16Updated 8 months ago
- ☆27Updated 2 years ago
- Tutorials for the InvestOps Python package☆12Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Development space for PhD in Finance☆33Updated 4 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆39Updated 4 years ago
- Financial Strategy Resources☆15Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆25Updated 4 years ago
- Simulated GBM using MC simulation, estimated option' Greeks using numerical methods such as finite difference, pathwise derivative estima…☆31Updated 4 years ago