A DQN agent that optimally hedges an options portfolio.
☆25Feb 4, 2020Updated 6 years ago
Alternatives and similar repositories for reinforcement-learning-option-pricing
Users that are interested in reinforcement-learning-option-pricing are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Nov 28, 2019Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 5 years ago
- Hedging portfolios with reinforcement learning.☆36Aug 2, 2017Updated 9 years ago
- ☆10Nov 4, 2018Updated 7 years ago
- Machine Learning and Reinforcement Learning in Finance New York University Tandon School of Engineering☆13Nov 8, 2018Updated 7 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆16Oct 15, 2021Updated 5 years ago
- Deep Optimal Stopping Project☆16Jun 8, 2019Updated 7 years ago
- Deep Reinforcement Learning for Stock trading task☆21Feb 9, 2021Updated 5 years ago
- A Program to calculate the price of American put or call option with Least Square Monte Carlo☆16Jun 7, 2023Updated 3 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆16Jul 6, 2021Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆34Jul 28, 2020Updated 6 years ago
- A portfolio optimization framework leveraging Deep Reinforcement Learning (DRL)☆26Jul 29, 2020Updated 6 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆95Oct 16, 2022Updated 4 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆61Mar 12, 2021Updated 5 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Reinforcement Learning for Portfolio Management☆480Jun 26, 2018Updated 8 years ago
- Portfolio management using Actor-Critic Deep Reinforcement Learning algorithms including A2C, DDPG, and PPO☆47Mar 9, 2022Updated 4 years ago
- The repository contains the code for project for DS 5500 course at Northeastern.☆35Dec 8, 2019Updated 6 years ago
- ☆50Jul 22, 2020Updated 6 years ago
- My solutions to puzzles released monthly from Jane Street☆14Jun 8, 2024Updated 2 years ago
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆23Jul 11, 2026Updated 3 months ago
- Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market☆18Dec 29, 2022Updated 3 years ago
- Multi-objective reinforcement learning for covid-19 control☆12Aug 12, 2021Updated 5 years ago
- Deep Reinforcement Learning For Trading☆109Aug 19, 2026Updated last month
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- A new and more effective method for dynamic hedging☆14Jan 11, 2018Updated 8 years ago
- https://www.coursera.org/learn/advanced-methods-reinforcement-learning-finance?☆21Dec 26, 2021Updated 4 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆27Mar 29, 2021Updated 5 years ago
- A Reinforcement learning model which applies deterministic policy gradient algorithms to maximize return on portfolio management task☆14Jun 2, 2018Updated 8 years ago
- ☆16Aug 19, 2019Updated 7 years ago
- A deep reinforcement learning model for portfolio management. For more info, check☆14Jun 2, 2020Updated 6 years ago
- Monte Carlo simulation to option pricing in CUDA☆11Apr 29, 2017Updated 9 years ago
- High Frequency Jump Prediction Project☆37Jun 1, 2020Updated 6 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- ☆154Jun 10, 2020Updated 6 years ago
- Financial Analysis and Algorithmic Trading Strategies in Python☆11Feb 16, 2023Updated 3 years ago
- Replication of "Artificial Intelligence, Algorithmic Pricing, and Collusion" by Calvano, Calzolari, Denicolò, Pastorello (2020) in Python…☆22Jun 20, 2023Updated 3 years ago
- Optimistic Bull or Pessimistic Bear: Adaptive Deep Reinforcement Learning for Stock Portfolio Allocation☆38Jun 11, 2019Updated 7 years ago
- 证券量化研究聚宽实现☆12Jan 31, 2020Updated 6 years ago