juliansester / ngaLinks
Robust deep hedging and Non-linear generalized affine processes
☆14Updated 3 months ago
Alternatives and similar repositories for nga
Users that are interested in nga are comparing it to the libraries listed below
Sorting:
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- ☆11Updated last year
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆18Updated 3 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 2 months ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆15Updated 5 years ago
- ☆12Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆19Updated 7 years ago
- ☆15Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- Vanna-volga pricer for fx options☆9Updated 6 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆16Updated last year
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- ☆35Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆14Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated last year