juliansester / nga
Robust deep hedging and Non-linear generalized affine processes
☆13Updated 3 years ago
Alternatives and similar repositories for nga:
Users that are interested in nga are comparing it to the libraries listed below
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Calibration and pricing options in Heston model☆12Updated 7 years ago
- ☆19Updated 6 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆29Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- ☆13Updated 2 years ago
- Calibration of a Surface SVI☆12Updated 6 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆12Updated 7 months ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- ☆32Updated 8 months ago
- ☆14Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 5 months ago
- ☆46Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆13Updated last year
- baruch mfe mth9814 financial instruments