maximemorariu / mpointsLinks
A machine learning tool that implements the class of state-dependent Hawkes processes.
☆31Updated last year
Alternatives and similar repositories for mpoints
Users that are interested in mpoints are comparing it to the libraries listed below
Sorting:
- Code for the paper Volatility is (mostly) path-dependent☆63Updated last year
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- A Python implementation of the rough Bergomi model.☆121Updated 6 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Market simulator☆60Updated 4 years ago
- ☆50Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- ☆149Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 4 years ago
- three stochastic volatility model: Heston, SABR, SVI☆90Updated 6 years ago
- Neural network local volatility with dupire formula☆77Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆191Updated 5 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆167Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆23Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- ☆19Updated 7 years ago
- DCC GARCH modeling in Python☆95Updated 5 years ago
- ☆35Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 3 weeks ago
- ☆68Updated last month
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆87Updated 4 months ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆159Updated 4 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆127Updated 3 months ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆166Updated last month