Robust pricing and hedging via Neural SDEs
β39Aug 4, 2021Updated 5 years ago
Alternatives and similar repositories for robust_nsde
Users that are interested in robust_nsde are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.β61Jan 5, 2023Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies πβ17Sep 25, 2021Updated 4 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learningβ27Mar 29, 2021Updated 5 years ago
- β16Jul 13, 2021Updated 5 years ago
- Applying Differential Machine Learning to Calibrate Heston Modelβ22Sep 24, 2023Updated 2 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer β’ AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashionβ19May 13, 2024Updated 2 years ago
- Unbiased Deep Learning based Solvers for parametric PDEsβ12Oct 11, 2021Updated 4 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".β32May 26, 2021Updated 5 years ago
- β26Mar 23, 2025Updated last year
- Script to fit the Heston-Nandi GARCH(1,1) model. Includes MLE of parameters, future path simulation, Monte Carlo simulation for option prβ¦β17Jul 3, 2021Updated 5 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.β20Jun 10, 2022Updated 4 years ago
- Code for the paper "Hedging with linear regressions and neural networks"β41May 14, 2021Updated 5 years ago
- Calibration and pricing options in Heston modelβ14Dec 24, 2017Updated 8 years ago
- β14Mar 1, 2024Updated 2 years ago
- End-to-end encrypted cloud storage - Proton Drive β’ AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- β22Jun 20, 2018Updated 8 years ago
- code for "Optimal Stopping via Randomized Neural Networks"β58Apr 17, 2024Updated 2 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for computβ¦β16May 23, 2022Updated 4 years ago
- We implement the rough Heston modelβ16Jan 24, 2024Updated 2 years ago
- Fractional Brownian Motion packageβ11Jun 24, 2022Updated 4 years ago
- β16Jul 9, 2022Updated 4 years ago
- β12Apr 17, 2021Updated 5 years ago
- β13Jul 2, 2025Updated last year
- β12Dec 22, 2023Updated 2 years ago
- Open source password manager - Proton Pass β’ AdSecurely store, share, and autofill your credentials with Proton Pass, the end-to-end encrypted password manager trusted by millions.
- β24Apr 1, 2022Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.β14Mar 23, 2017Updated 9 years ago
- Survey of neural network methods for derivatives pricing and risksβ14Jul 5, 2022Updated 4 years ago
- simulation of Heston model by Monte-Carlo methodβ12Aug 26, 2024Updated 2 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise fβ¦β24Jun 24, 2020Updated 6 years ago
- SABR Implied volatility asymptoticsβ24May 22, 2020Updated 6 years ago
- A curated list of resources dedicated to Deep Hedgingβ88Nov 5, 2022Updated 3 years ago
- Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Networkβ19Nov 25, 2020Updated 5 years ago
- β11Mar 20, 2015Updated 11 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits β’ AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- We implement the paper: Deep Learning Volatilityβ214May 10, 2020Updated 6 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.β12Sep 29, 2017Updated 8 years ago
- β50Jul 22, 2020Updated 6 years ago
- β14Apr 1, 2019Updated 7 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensβ¦β20Nov 12, 2020Updated 5 years ago