justinhou95 / NeuralHedgeLinks
Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
☆16Updated last year
Alternatives and similar repositories for NeuralHedge
Users that are interested in NeuralHedge are comparing it to the libraries listed below
Sorting:
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆16Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- ☆12Updated 2 years ago
- ☆12Updated last year
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option pr…☆13Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 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
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 8 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago
- ☆21Updated 7 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- ☆67Updated 4 months ago
- Market simulator☆61Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆34Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 7 years ago
- Fractional Brownian Motion package☆11Updated 3 years ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- ☆16Updated 5 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- ☆17Updated 3 years ago