issaz / sigker-nsdes
Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".
☆20Updated 7 months ago
Alternatives and similar repositories for sigker-nsdes:
Users that are interested in sigker-nsdes are comparing it to the libraries listed below
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 6 months ago
- esig python package☆48Updated 3 months ago
- Market simulator☆60Updated 4 years ago
- ☆26Updated last year
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆29Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆70Updated 3 months ago
- Codes for my thesis project: replicating and modifying quant GANs.☆17Updated 3 years ago
- Robust pricing and hedging via Neural SDEs☆32Updated 3 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆107Updated last year
- code scripts for Tail-GAN: Learning to Simulate Tail Risk Scenarios☆11Updated 3 weeks ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆67Updated last month
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆48Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago
- Toolbox for working with streaming data as rough paths in Python☆36Updated 2 weeks ago
- code for "Optimal Stopping via Randomized Neural Networks"☆53Updated 11 months ago
- ☆63Updated 2 months ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Signax: Signature computation in JAX☆28Updated 2 months ago
- Code for: "A Generalised Signature Method for Time Series"☆63Updated last year
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31Updated 3 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆25Updated last year
- ☆32Updated 10 months ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆81Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆27Updated 4 years ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆41Updated 3 months ago
- Quant GAN from [Wiese et al., Quant GANs: Deep Generation of Financial Time Series, 2019]☆20Updated 3 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆116Updated this week