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☆14Updated 10 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆58Updated last year
- ☆27Updated 2 years ago
- ☆16Updated 3 years ago
- Market simulator☆60Updated 5 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 3 years ago
- ☆19Updated 7 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- ☆36Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆44Updated 5 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆19Updated 5 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
- Some implementations from the paper robust risk aware reinforcement learning☆35Updated 3 years ago
- ☆12Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- ☆15Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- ☆11Updated last year
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆31Updated last year
- Python implementation of ARFIMA process with an aim to simulate series.☆20Updated 4 years ago
- TensorFlow implementation of the HARNet model for realized volatility forecasting.☆28Updated 2 years ago
- ☆68Updated last month
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆29Updated 5 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆53Updated 7 months ago
- ☆12Updated 2 years ago