fschur / Deep-Reinforcement-Learning-for-Hedging
Hedging unsing Deep Reinforcement Learning and Deep Learning
☆23Updated 3 years ago
Alternatives and similar repositories for Deep-Reinforcement-Learning-for-Hedging:
Users that are interested in Deep-Reinforcement-Learning-for-Hedging are comparing it to the libraries listed below
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- ☆31Updated 7 months ago
- ☆12Updated 2 years ago
- ☆45Updated 4 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆30Updated 2 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆21Updated last year
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- Deep Optimal Stopping Project☆16Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆44Updated 5 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- A DQN agent that optimally hedges an options portfolio.☆23Updated 4 years ago
- Neural network local volatility with dupire formula☆73Updated 3 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆37Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 4 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆23Updated 2 years ago
- Baruch MFE 2019 Spring☆36Updated 4 years ago
- Code and documents from Econ 690 at Duke☆9Updated 2 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆13Updated 8 months ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆53Updated last year
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆25Updated last year
- Deep learning for limit order book trading and mid-price movement☆49Updated 4 years ago
- Repository attached to the paper with the same name.☆20Updated 3 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)…☆15Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆152Updated 4 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆23Updated last year