Alternatives and similar repositories for aslsd

Users that are interested in aslsd are comparing it to the libraries listed below

• amuguruza / RoughFCLT
  ☆19Updated 7 years ago
• RoughStochVol / regularity_structure_finance
  Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
  ☆10Updated 7 years ago
• roederd / volatility_model_calibration_with_nn
  ☆16Updated 5 years ago
• jgatheral / AFVsimulationCode
  We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.
  ☆14Updated 3 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆15Updated 11 months ago
• imanolperez / market_simulator
  Market simulator
  ☆60Updated 5 years ago
• cvxgrp / cov_pred_finance
  ☆68Updated 2 months ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 4 years ago
• RoughStochVol / small-time_asymptotics_fractional
  Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
  ☆12Updated 8 years ago
• RefaelLasry / EstimationOfCovarianceMatrix
  Estimation of the Covariance Matrix - linear and nonlinear shrinkage
  ☆23Updated 3 years ago
• tdmdal / rl-hedge-2019
  ☆50Updated 5 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆35Updated 3 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆52Updated 2 years ago
• pfnet-research / NoTransactionBandNetwork
  Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".
  ☆31Updated 4 years ago
• Lapsilago / Machine-Learning---Option-Pricing-Calibration-Hedging--
  Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging
  ☆15Updated 5 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆57Updated 3 years ago
• MarcosCarreira / Hawkes-With-Latency
  Hawkes with Latency
  ☆20Updated 4 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago
• davidzhou9 / DeepVol
  Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.
  ☆16Updated 5 years ago
• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆30Updated 5 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆66Updated last year
• ryanmccrickerd / frh-fx
  A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
  ☆12Updated 7 years ago
• matzhaugen / analytic_shrinkage
  Non-Linear Covariance Shrinkage
  ☆15Updated 3 years ago
• rotmanfinhub / gamma-vega-rl-hedging
  ☆36Updated last year
• sebjai / STA2536
  For code and snippets for STA 2536: Data Science for Risk Modeling
  ☆14Updated 3 years ago
• amuguruza / LDP-VolOptions
  Large Deviations for volatility options
  ☆13Updated 6 years ago
• msabvid / robust_nsde
  Robust pricing and hedging via Neural SDEs
  ☆37Updated 4 years ago
• sigurdroemer / rough_heston
  We implement the rough Heston model
  ☆14Updated last year
• maximemorariu / mpoints
  A machine learning tool that implements the class of state-dependent Hawkes processes.
  ☆31Updated 2 years ago