msabvid / Deep-PPDELinks
Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
☆36Updated 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
Sorting:
- ☆21Updated 7 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- ☆37Updated last year
- Large Deviations for volatility options☆13Updated 6 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 5 years ago
- Market simulator☆61Updated 5 years ago
- ☆70Updated 6 months ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- ☆16Updated 5 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆60Updated last year
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- ☆50Updated 5 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆36Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 7 years ago
- Source code for Deep Fundamental Factor Models, https://arxiv.org/abs/1903.07677☆66Updated 3 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆17Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆123Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Updated 2 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆117Updated 6 years ago