pfnet-research / pfhedgeView external linksLinks
PyTorch-based framework for Deep Hedging
☆335Aug 30, 2024Updated last year
Alternatives and similar repositories for pfhedge
Users that are interested in pfhedge are comparing it to the libraries listed below
Sorting:
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Jan 17, 2021Updated 5 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
- Implementation of the vanilla Deep Hedging engine☆318Jan 22, 2026Updated 3 weeks 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
- A curated list of resources dedicated to Deep Hedging☆87Nov 5, 2022Updated 3 years ago
- ☆17Jul 9, 2022Updated 3 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
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Sep 22, 2024Updated last year
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆26Mar 29, 2021Updated 4 years ago
- We implement the paper: Deep Learning Volatility☆203May 10, 2020Updated 5 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆16Sep 25, 2021Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 8 years ago
- Some implementations from the paper robust risk aware reinforcement learning☆36Dec 15, 2021Updated 4 years ago
- ☆12Apr 17, 2021Updated 4 years ago
- ☆12Dec 21, 2022Updated 3 years ago
- ☆37May 23, 2024Updated last year
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- Robust deep hedging and Non-linear generalized affine processes☆14Mar 7, 2025Updated 11 months ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Apr 15, 2019Updated 6 years ago
- ☆155Jun 10, 2020Updated 5 years ago
- A collection of homeworks of market microstructure models.☆278May 4, 2018Updated 7 years ago
- Algorithmic Portfolio Hedging. Black-Scholes Pricing for Dynamic Hedges to produce a Dynamic multi-asset Portfolio Hedging with the usage…☆57Mar 12, 2021Updated 4 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- Time-Series Momentum Strategies☆12Jul 20, 2018Updated 7 years ago
- ☆209Mar 29, 2023Updated 2 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆90May 19, 2023Updated 2 years ago
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆544Jul 15, 2021Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Jun 15, 2021Updated 4 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- A 50ETF Option Volatility Arbitrage Strategy Based on SABR Model☆25Dec 26, 2022Updated 3 years ago
- A Python implementation of the rough Bergomi model.☆140Sep 17, 2018Updated 7 years ago
- Compute fractional differentiation super-fast. Processes time-series to be stationary while preserving memory. cf. "Advances in Financial…☆331Dec 16, 2023Updated 2 years ago
- ☆55Apr 10, 2021Updated 4 years ago
- This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.o…☆600Dec 10, 2023Updated 2 years ago
- SABR Implied volatility asymptotics☆25May 22, 2020Updated 5 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144May 6, 2023Updated 2 years ago
- ☆11Oct 6, 2020Updated 5 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆10Apr 8, 2020Updated 5 years ago