juliansester / ngaLinks
Robust deep hedging and Non-linear generalized affine processes
☆14Updated 9 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.☆33Updated 5 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 2 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- baruch mfe mth9814 financial instruments☆16Updated 7 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆21Updated 7 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- ☆16Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- An xVA quantitative library written in python using tensorflow☆17Updated last week
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆16Updated 3 years ago
- ☆50Updated 5 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 8 months ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Market making strategies and scientific papers☆14Updated 2 years ago
- Momentum following strategies and optimal execution cost upon Implement Shortfall algorithm☆15Updated 6 years ago
- ☆21Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆12Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆122Updated last year
- Heath–Jarrow–Morton model☆13Updated 4 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago