moritz-voss / Parametric_Optimal_Execution_MLLinks
☆12Updated last year
Alternatives and similar repositories for Parametric_Optimal_Execution_ML
Users that are interested in Parametric_Optimal_Execution_ML are comparing it to the libraries listed below
Sorting:
- Market making strategies and scientific papers☆14Updated 2 years ago
- Modelling the implicit volatility, using multi-factor statistical models.☆21Updated 7 months ago
- Collection of Models related to market making☆16Updated 4 years ago
- Final Project for FINM33150, University of Chicago, Regression Analysis and Quantitative Trading Strategies☆11Updated 4 years ago
- Basic Limit Order Book functions☆22Updated 7 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆16Updated 3 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆20Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆16Updated 5 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- ☆25Updated 9 years ago
- ☆16Updated 3 years ago
- ☆12Updated 2 years ago
- ☆21Updated 3 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- ☆12Updated 4 years ago
- ☆24Updated 5 years ago
- Options are an integral part of hedging strategies, portfolio management and many other facets of the finance industry. And Greeks of an …☆12Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago