Robust pricing and hedging via Neural SDEs
☆38Aug 4, 2021Updated 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. 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.☆58Jan 5, 2023Updated 3 years ago
- ☆16Jul 17, 2020Updated 5 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆22Sep 24, 2023Updated 2 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 4 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 3 years ago
- Unbiased Deep Learning based Solvers for parametric PDEs☆11Oct 11, 2021Updated 4 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31May 26, 2021Updated 4 years ago
- ☆26Mar 23, 2025Updated last year
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15May 23, 2022Updated 3 years ago
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 5 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆59Apr 17, 2024Updated last year
- Code for the paper "Hedging with linear regressions and neural networks"☆40May 14, 2021Updated 4 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- ☆13Jul 2, 2025Updated 8 months ago
- ☆15Jul 9, 2022Updated 3 years ago
- Code repository for the paper "Towards a Comprehensive Evaluation of Dimension Reduction Methods for Data Visualization"☆14Jul 4, 2024Updated last year
- ☆12Dec 22, 2023Updated 2 years ago
- ☆22Apr 1, 2022Updated 3 years ago
- simulation of Heston model by Monte-Carlo method☆12Aug 26, 2024Updated last year
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆10Sep 17, 2021Updated 4 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- ☆49Jul 22, 2020Updated 5 years ago
- ☆10Mar 8, 2023Updated 3 years ago
- Learning project by project.☆20Aug 29, 2021Updated 4 years ago
- Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network☆20Nov 25, 2020Updated 5 years ago
- ☆14Nov 10, 2021Updated 4 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Oct 15, 2021Updated 4 years ago
- ☆17Nov 17, 2021Updated 4 years ago
- ☆15Jun 22, 2025Updated 9 months ago
- FFT-based Option Pricing Methods in Python☆59Aug 29, 2018Updated 7 years ago
- Repository for xL-SINDy, a robust algorithm to extract Lagrangian of nonlinear dynamical systems from noisy measurement data.☆11Aug 8, 2022Updated 3 years ago
- Code for the papers "Modeling the Second Player in Distributionally Robust Optimization" and "Distributionally Robust Models with Paramet…☆29Apr 14, 2022Updated 3 years ago
- Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks☆38Sep 22, 2020Updated 5 years ago