msabvid / Deep-PPDE
Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
☆33Updated 3 years ago
Alternatives and similar repositories for Deep-PPDE:
Users that are interested in Deep-PPDE are comparing it to the libraries listed below
- ☆19Updated 6 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 5 months ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Large Deviations for volatility options☆12Updated 6 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆26Updated 4 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆30Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated 2 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 4 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- ☆32Updated 9 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆22Updated 4 years ago
- ☆14Updated 3 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- ☆47Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- Code for the paper Volatility is (mostly) path-dependent☆59Updated 11 months ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆11Updated 6 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 6 years ago
- ☆15Updated 4 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆22Updated 2 years ago
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- ☆63Updated last month
- ☆14Updated 2 years ago
- Price options analytically given stock price characteristic function☆15Updated 9 years ago
- SABR Implied volatility asymptotics☆21Updated 4 years ago