Implementation of the vanilla Deep Hedging engine
☆322Jan 22, 2026Updated last month
Alternatives and similar repositories for deephedging
Users that are interested in deephedging are comparing it to the libraries listed below
Sorting:
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Jan 17, 2021Updated 5 years ago
- PyTorch-based framework for Deep Hedging☆336Aug 30, 2024Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- A curated list of resources dedicated to Deep Hedging☆87Nov 5, 2022Updated 3 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 4 years ago
- ☆37May 23, 2024Updated last year
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31May 26, 2021Updated 4 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)…☆15Oct 15, 2021Updated 4 years ago
- A multi-factor equity risk model for quantitative trading.☆900Aug 16, 2024Updated last year
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- ☆17Jul 9, 2022Updated 3 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆238Jun 29, 2023Updated 2 years ago
- Robust deep hedging and Non-linear generalized affine processes☆14Mar 7, 2025Updated 11 months ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- ☆21Jun 28, 2022Updated 3 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆90May 19, 2023Updated 2 years ago
- Portfolio optimization and back-testing.☆1,167Updated this week
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Sep 22, 2024Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- Trellis is a Python framework for research into deep hedging☆23May 13, 2021Updated 4 years ago
- toolbox of fast mm-related funcs☆228Feb 20, 2026Updated last week
- Implements Path Shadowing Monte Carlo (PSMC).☆87Dec 19, 2024Updated last year
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆108Mar 10, 2025Updated 11 months ago
- Market simulator☆61Jul 24, 2020Updated 5 years ago
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 5 years ago
- A log likelihood process for optimal entry / exit / stopping.☆14Jun 15, 2022Updated 3 years ago
- ☆155Jun 10, 2020Updated 5 years ago
- ☆50Jul 22, 2020Updated 5 years ago
- This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in …☆1,044Aug 13, 2023Updated 2 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆266Nov 24, 2022Updated 3 years ago
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆23Sep 8, 2023Updated 2 years ago
- ☆55Apr 10, 2021Updated 4 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆208Feb 6, 2026Updated 3 weeks ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆287Updated this week
- A collection of homeworks of market microstructure models.☆279May 4, 2018Updated 7 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆207Nov 19, 2024Updated last year
- Codes for my thesis project: replicating and modifying quant GANs.☆18Aug 23, 2021Updated 4 years ago