sapphire921 / NN-Option-PricingLinks
Deep Neural Networks for Options Pricing (Python)
☆47Updated 6 years ago
Alternatives and similar repositories for NN-Option-Pricing
Users that are interested in NN-Option-Pricing are comparing it to the libraries listed below
Sorting:
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆77Updated 3 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆44Updated 2 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆80Updated 2 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- Tracking S&P 500 index with deep learning model☆12Updated last year
- ☆50Updated 7 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆54Updated this week
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- Python code for pricing exotic options, such as Asian options, Barrier options and Look-back options using Monte Carlo methods.☆26Updated 5 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- ☆49Updated 4 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆111Updated 6 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆97Updated 2 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆26Updated 2 years ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Predictive yield curve modeling in reduced dimensionality☆43Updated 2 years ago
- some interest rate models such as Vasicek and dynamic Nelson-Siegel model☆17Updated 5 years ago
- ☆33Updated last year
- Delta hedging under SABR model☆32Updated last year
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- The "Python Machine Learning (2nd edition)" book code repository and info resource☆14Updated 6 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆38Updated 4 years ago
- Python Code for Quantitative Finance Papers☆39Updated 8 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…☆34Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆37Updated 4 years ago