samsonq / Thesis
Samson's MIT Master's Degree Thesis: "Multi-Agent Deep Reinforcement Learning and GAN-Based Market Simulation for Derivatives Pricing and Dynamic Hedging".
☆22Updated last year
Related projects ⓘ
Alternatives and complementary repositories for Thesis
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆19Updated 4 years ago
- ☆12Updated 2 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆23Updated 3 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆31Updated 6 months ago
- Modifying the Shiller CAPE Ratio to adjust for changing economic conditions.☆14Updated 2 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 6 months ago
- Some implementations from the paper robust risk aware reinforcement learning☆34Updated 2 years ago
- End-to-end distributionally robust optimization☆30Updated last year
- Multivariate Markov-Switching Models Regressions Framework☆10Updated 4 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆28Updated last year
- A Deep Learning Framework for Neural Derivative Hedging☆29Updated 2 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆12Updated last year
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 4 years ago
- Hawkes with Latency☆19Updated 3 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Financial applications focusing on portfolio management for Python☆16Updated last year
- Vanna-volga pricer for fx options☆8Updated 5 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆25Updated 4 years ago
- Quant finance scripts☆15Updated 4 years ago
- This repository is for my master's project, A Survey of Deep Learning Architectures for Algorithmic Cryptocurrency Trading, delivered on …☆8Updated last year
- Basic Limit Order Book functions☆20Updated 6 years ago
- By means of stochastic volatility models☆41Updated 4 years ago
- ☆29Updated 5 months ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆12Updated 7 years ago
- Simulated markets based on Zero-Intelligence agent☆17Updated 4 years ago
- ☆19Updated this week
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 7 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆17Updated 4 years ago