mChataign / DupireNNLinks
Neural network local volatility with dupire formula
☆79Updated 4 years ago
Alternatives and similar repositories for DupireNN
Users that are interested in DupireNN are comparing it to the libraries listed below
Sorting:
- Code for the paper Volatility is (mostly) path-dependent☆73Updated last year
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆126Updated 3 months ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆118Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆138Updated 7 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 5 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Updated 6 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Construction of local volatility surface by using SABR☆30Updated 8 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆93Updated 6 years ago
- ☆50Updated 5 years ago
- Advanced Risk and Portfolio Management Resources☆33Updated 6 years ago
- Material accompanying the MOSEK Portfolio Optimization Cookbook☆99Updated last week
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆51Updated 5 years ago
- We implement the paper: Deep Learning Volatility☆204Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆105Updated 10 months ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆25Updated 8 years ago
- Surface SVI parameterisation and corresponding local volatility☆57Updated 5 years ago
- ☆53Updated 8 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 7 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- ☆80Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Updated 2 years ago
- Research Repo (Archive)☆74Updated 5 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆135Updated 7 years ago