rotmanfinhub / gamma-vega-rl-hedgingLinks
☆36Updated last year
Alternatives and similar repositories for gamma-vega-rl-hedging
Users that are interested in gamma-vega-rl-hedging are comparing it to the libraries listed below
Sorting:
- ☆50Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆30Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- ☆16Updated 3 years ago
- ☆11Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆21Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆26Updated last year
- Implied volatility surface interpolation with shape-constrained bayesian neural network.☆15Updated 3 years ago
- baruch mfe mth9814 financial instruments☆15Updated 7 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆161Updated 4 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆35Updated 2 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆25Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆85Updated 3 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆37Updated 4 years ago
- SABR Implied volatility asymptotics☆23Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆90Updated 6 months ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆37Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- Baruch MFE program quant lab☆29Updated 7 years ago
- Surface SVI parameterisation and corresponding local volatility☆51Updated 5 years ago
- Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…☆35Updated 2 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 5 months ago