Alternatives and similar repositories for robust_nsde

Users that are interested in robust_nsde are comparing it to the libraries listed below

• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆56Updated 2 years ago
• vanessa-pizante / Deep-Optimal-Stopping
  Deep Optimal Stopping Project
  ☆15Updated 6 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆17Updated last year
• HeKrRuTe / OptStopRandNN
  code for "Optimal Stopping via Randomized Neural Networks"
  ☆60Updated last year
• SigCGANs / Sig-Wasserstein-GANs
  ☆30Updated 2 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆36Updated 3 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• imanolperez / market_simulator
  Market simulator
  ☆61Updated 5 years ago
• amuguruza / RoughFCLT
  ☆21Updated 7 years ago
• oskarimikkila / Empirical-Deep-Hedging
  ☆17Updated 3 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆17Updated 3 years ago
• yangangchen / Amer_Op_Neural_Net
  Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…
  ☆21Updated 5 years ago
• rotmanfinhub / gamma-vega-rl-hedging
  ☆37Updated last year
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆12Updated 8 years ago
• chrischia06 / neural-network-derivative-pricing
  Survey of neural network methods for derivatives pricing and risks
  ☆14Updated 3 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆49Updated 2 years ago
• dkyol / Asset-Pricing-Model
  PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics
  ☆52Updated 5 years ago
• MaxGermain / MultistepBSDE
  Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions
  ☆19Updated 5 years ago
• JamesSullivan / temporalCN
  Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper
  ☆33Updated last year
• wahido / neural_locVol
  ☆15Updated 4 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆60Updated 3 years ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆56Updated 4 months ago
• kaaaylaaa / causality-based-trading
  ☆22Updated last year
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆36Updated 4 years ago
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆83Updated last year
• kwchau / sgbm_xva
  This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …
  ☆12Updated 7 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆33Updated 5 years ago
• intermet / neural-spx-vix-calibration
  ☆15Updated 2 years ago
• dlaptev / VarGamma
  Variance Gamma distribution (Python): pdf, cdf, rand and fit.
  ☆12Updated 7 years ago
• AlejandroSantorum / scikit-rmt
  Random Matrix Theory library - RMT analysis and simulation in Python
  ☆52Updated 2 months ago