oskarimikkila / Empirical-Deep-HedgingView external linksLinks
☆17Jul 9, 2022Updated 3 years ago
Alternatives and similar repositories for Empirical-Deep-Hedging
Users that are interested in Empirical-Deep-Hedging are comparing it to the libraries listed below
Sorting:
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 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
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Jul 28, 2020Updated 5 years ago
- ☆50Jul 22, 2020Updated 5 years ago
- Robust deep hedging and Non-linear generalized affine processes☆14Mar 7, 2025Updated 11 months ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- A paper replication project for Time-driven feature-aware jointly deep reinforcement learning☆11Mar 12, 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
- ☆14Mar 1, 2024Updated last year
- Heath–Jarrow–Morton model☆14Feb 22, 2021Updated 4 years ago
- ☆37May 23, 2024Updated last year
- Arbitrage free SVI Surface☆14Feb 13, 2018Updated 8 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Jan 17, 2021Updated 5 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Apr 15, 2019Updated 6 years ago
- PyTorch-based framework for Deep Hedging☆335Aug 30, 2024Updated last year
- A log likelihood process for optimal entry / exit / stopping.☆14Jun 15, 2022Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆38Apr 24, 2023Updated 2 years ago
- Deep Optimal Stopping Project☆15Jun 8, 2019Updated 6 years ago
- Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and…☆23Sep 8, 2023Updated 2 years ago
- Implementation of the paper "Autoformer: Decomposition Transformers with Auto-Correlation for Long-Term Series Forecasting", https://arxi…☆19Jul 20, 2021Updated 4 years ago
- Blaze☆17Jun 19, 2021Updated 4 years ago
- ☆26Mar 23, 2025Updated 10 months ago
- Zakamouline optimal delta hedging strategy python implementation.☆20Dec 11, 2022Updated 3 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Nov 28, 2019Updated 6 years ago
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆18Mar 20, 2020Updated 5 years ago
- Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion☆18May 13, 2024Updated last year
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- ☆22Nov 27, 2024Updated last year
- Economic models and things in Pytorch☆21Nov 30, 2017Updated 8 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 4 years ago
- Libor curve bootstrapping example from cash, Eurodollar future and interest rate swap instruments.☆22Jan 30, 2019Updated 7 years ago
- Deep direct reinforcement learning for financial signal representation and trading☆31Oct 7, 2020Updated 5 years ago
- Trellis is a Python framework for research into deep hedging☆23May 13, 2021Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆203May 10, 2020Updated 5 years ago
- An implementation of the paper "A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem"☆23Aug 15, 2018Updated 7 years ago