Robust pricing and hedging via Neural SDEs
☆39Aug 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:
- ☆16Jul 13, 2021Updated 4 years ago
- Applying Differential Machine Learning to Calibrate Heston Model☆22Sep 24, 2023Updated 2 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆27Mar 29, 2021Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆19May 13, 2024Updated 2 years ago
- Unbiased Deep Learning based Solvers for parametric PDEs☆12Oct 11, 2021Updated 4 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆32May 26, 2021Updated 5 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- ☆26Mar 23, 2025Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Feb 26, 2020Updated 6 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…☆17Jul 3, 2021Updated 4 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 5 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆15May 23, 2022Updated 4 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- code for "Optimal Stopping via Randomized Neural Networks"☆58Apr 17, 2024Updated 2 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆40May 14, 2021Updated 5 years ago
- We implement the rough Heston model☆18Jan 24, 2024Updated 2 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 7 years ago
- Fractional Brownian Motion package☆11Jun 24, 2022Updated 3 years ago
- ☆12Apr 17, 2021Updated 5 years ago
- ☆13Jul 2, 2025Updated 11 months ago
- ☆12Dec 22, 2023Updated 2 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- 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☆24May 22, 2020Updated 6 years ago
- A curated list of resources dedicated to Deep Hedging☆88Nov 5, 2022Updated 3 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
- ☆11Mar 20, 2015Updated 11 years ago
- We implement the paper: Deep Learning Volatility☆211May 10, 2020Updated 6 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
- ☆50Jul 22, 2020Updated 5 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- ☆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☆19Nov 25, 2020Updated 5 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
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- FFT-based Option Pricing Methods in Python☆59Aug 29, 2018Updated 7 years ago