mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-ConstraintsView on GitHub
Repository attached to the paper with the same name.
☆21Jun 15, 2021Updated 4 years ago
Alternatives and similar repositories for Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
Users that are interested in Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Neural network local volatility with dupire formula☆80Jun 15, 2021Updated 4 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆84May 13, 2020Updated 5 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click and start building anything your business needs.
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 2 years ago
- ☆22Apr 1, 2022Updated 3 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆58Jan 5, 2023Updated 3 years ago
- This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK…☆44May 22, 2024Updated last year
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Calibration and Simulation Engine for Local Volatility Models☆15Dec 13, 2021Updated 4 years ago
- DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- ☆18Apr 24, 2021Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated last week
- ☆25Dec 2, 2021Updated 4 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- A lean package to estimate financial asset betas☆11Feb 12, 2023Updated 3 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- SOFR curve bootstrapping☆27Jul 17, 2020Updated 5 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆18Apr 30, 2021Updated 4 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 10 years ago
- ☆16Nov 16, 2016Updated 9 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- Surface SVI parameterisation and corresponding local volatility☆62May 10, 2020Updated 5 years ago
- Robust deep hedging and Non-linear generalized affine processes☆14Mar 7, 2025Updated last year
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- ☆12Dec 22, 2023Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆37Jul 5, 2023Updated 2 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆67Jul 17, 2022Updated 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…☆16Jul 3, 2021Updated 4 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆59Apr 17, 2024Updated last year
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 7 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Feb 8, 2024Updated 2 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago