msabvid / robust_nsdeLinks
Robust pricing and hedging via Neural SDEs
☆37Updated 4 years ago
Alternatives and similar repositories for robust_nsde
Users that are interested in robust_nsde are comparing it to the libraries listed below
Sorting:
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆16Updated 11 months ago
- code for "Optimal Stopping via Randomized Neural Networks"☆58Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- ☆27Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Market simulator☆61Updated 5 years ago
- ☆36Updated last year
- ☆16Updated 3 years ago
- Deep Optimal Stopping Project☆15Updated 6 years 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.☆15Updated 3 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆19Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆50Updated 3 weeks ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- ☆20Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 7 years ago
- ☆15Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆46Updated 5 years ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆31Updated last year
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated last month
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Solving high-dimensional Partial Differential Equations with Deep Learning☆27Updated 6 years ago
- code scripts for Tail-GAN: Learning to Simulate Tail Risk Scenarios☆18Updated 2 weeks ago
- ☆15Updated 4 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 4 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14Updated last year
- Some implementations from the paper robust risk aware reinforcement learning☆36Updated 3 years ago
- Fractional Brownian Motion package☆11Updated 3 years ago
- ☆21Updated 9 months ago