mludkov / mlOSPLinks
Regression Monte Carlo for Optimal Stopping
☆9Updated 2 years ago
Alternatives and similar repositories for mlOSP
Users that are interested in mlOSP are comparing it to the libraries listed below
Sorting:
- ☆19Updated 7 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- ☆14Updated 3 years ago
- ☆12Updated 2 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 3 years ago
- ☆11Updated last year
- Implementation of "A deep solver for BSDEs with jumps"☆14Updated 7 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆19Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆10Updated 2 years ago
- ☆16Updated 4 years ago
- Heath–Jarrow–Morton model☆12Updated 4 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- A Package for Shrinkage Estimation of Covariance Matrices☆16Updated last year
- Option Pricing with Machine Learning Methods☆13Updated last year
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆14Updated 5 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 2 years ago
- ☆27Updated last month
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- Code repository for "Machine Learning and the Implementable Efficient Frontier" by Jensen, Kelly, Malamud, and Pedersen (2024)☆15Updated 3 months ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Volatility is Rough☆9Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago