msabvid / robust_nsde
Robust pricing and hedging via Neural SDEs
☆31Updated 3 years ago
Alternatives and similar repositories for robust_nsde:
Users that are interested in robust_nsde are comparing it to the libraries listed below
- code for "Optimal Stopping via Randomized Neural Networks"☆52Updated 9 months ago
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆33Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆48Updated 2 years ago
- ☆24Updated last year
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆12Updated 4 months ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆29Updated last year
- ☆14Updated 3 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- Market simulator☆57Updated 4 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆23Updated last year
- ☆13Updated 2 years ago
- ☆32Updated 8 months ago
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆38Updated 4 years ago
- Quant finance scripts☆15Updated 4 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
- Survey of neural network methods for derivatives pricing and risks☆14Updated 2 years ago
- Quant GAN from [Wiese et al., Quant GANs: Deep Generation of Financial Time Series, 2019]☆20Updated 3 years ago
- ☆18Updated 6 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆23Updated 3 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆20Updated 5 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31Updated 3 years ago
- ☆45Updated 4 years ago
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆18Updated 5 months ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Python code to perform risk-sensitive Reinforcement Learning with dynamic convex risk measures☆20Updated 11 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆69Updated last month