saadlabyad / aslsdLinks
Parametric estimation of multivariate Hawkes processes with general kernels.
☆14Updated last year
Alternatives and similar repositories for aslsd
Users that are interested in aslsd are comparing it to the libraries listed below
Sorting:
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆17Updated 3 years ago
- ☆16Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Updated 8 years ago
- ☆21Updated 7 years ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Updated 8 years ago
- Hawkes with Latency☆20Updated 4 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Updated 5 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆37Updated 7 years ago
- ☆70Updated 6 months ago
- Market simulator☆61Updated 5 years ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- Fractional Brownian Motion package☆11Updated 3 years ago
- ☆15Updated 4 years ago
- ☆15Updated 2 years ago
- ☆37Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 2 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆71Updated last year
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆12Updated 7 years ago
- Non-Linear Covariance Shrinkage☆14Updated 4 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆22Updated last year
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆60Updated 3 years ago
- For code and snippets for STA 2536: Data Science for Risk Modeling☆14Updated 4 years ago
- ☆50Updated 5 years ago
- Python implementation of ARFIMA process with an aim to simulate series.☆21Updated 4 years ago