hansbuehler / deephedgingLinks
Implementation of the vanilla Deep Hedging engine
☆280Updated 2 years ago
Alternatives and similar repositories for deephedging
Users that are interested in deephedging are comparing it to the libraries listed below
Sorting:
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆167Updated last year
- A collection of homeworks of market microstructure models.☆248Updated 7 years ago
- PyTorch-based framework for Deep Hedging☆295Updated 10 months ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆159Updated 4 years ago
- Deep Learning Statistical Arbitrage☆234Updated 2 years ago
- Entropy Pooling views and stress-testing combined with Conditional Value-at-Risk (CVaR) portfolio optimization in Python.☆260Updated this week
- Low Latency Interest Rate Markets – Theory, Pricing and Practice☆235Updated 5 months ago
- ArbitrageLab is a python library that enables traders who want to exploit mean-reverting portfolios by providing a complete set of algori…☆575Updated last year
- We implement the paper: Deep Learning Volatility☆191Updated 5 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆118Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- ☆48Updated 8 months ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆156Updated last year
- ☆140Updated 2 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- Goldman Sachs - Quantitative Strategies Research Notes☆355Updated 4 years ago
- experiments with pair trading☆304Updated 7 months ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 3 weeks ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆204Updated 2 years ago
- ☆140Updated last year
- Quantitative Investment Strategies (QIS) package implements Python analytics for visualisation of financial data, performance reporting, …☆386Updated this week
- To classify trades into buyer- and seller-initiated.☆145Updated 2 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Collection of papers from the Goldman Sachs Quantitative Strategies Research Notes series (published in the '90s)☆79Updated 4 years ago
- CS7641 Team project☆96Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 5 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆80Updated 3 years ago
- Python library for asset pricing☆115Updated last year
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆253Updated this week