milenavuletic / VolGAN
Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
☆21Updated last year
Related projects ⓘ
Alternatives and complementary repositories for VolGAN
- Code for the paper Volatility is (mostly) path-dependent☆51Updated 7 months ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆36Updated last month
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- ☆43Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆43Updated 5 years ago
- Construction of local volatility surface by using SABR☆26Updated 7 years ago
- Python Package: Fitting and Forecasting the yield curve☆34Updated 3 years ago
- Neural network local volatility with dupire formula☆72Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆35Updated 6 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆19Updated 6 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆78Updated 8 months ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆61Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆24Updated last year
- SABR Implied volatility asymptotics☆22Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆46Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆89Updated this week
- Baruch MFE 2019 Spring☆34Updated 4 years ago
- ☆18Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 2 years ago
- ☆29Updated 5 months ago
- Multivariate GARCH modelling in Python☆15Updated this week
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆20Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆14Updated 3 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆20Updated last year
- ☆46Updated 7 years ago
- ☆18Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆18Updated 4 years ago