sapphire921 / NN-Option-PricingLinks
Deep Neural Networks for Options Pricing (Python)
☆49Updated 7 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:
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆54Updated 6 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆116Updated 6 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆88Updated 3 years ago
- ☆65Updated 2 years ago
- Contains detailed and extensive notes on quantitative trading, leveraging NLP for finance, backtesting, alpha factor research, portfolio …☆50Updated 3 years ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- This repository represents work in progress for the Worldquant University Capstone Project titled: Asset Portfolio Management using Deep …☆87Updated 3 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- ☆44Updated 3 years ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆33Updated 5 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆68Updated 5 years ago
- Notebook based on the book "Advances in Financial Machine Learning" by Marcos Lopez de Prado☆126Updated 6 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆70Updated last year
- Notebook for <Advances in Financial Machine Learning> using Python 3.7☆43Updated 6 years ago
- Deep Reinforcement Learning Framework for Factor Investing☆30Updated 2 years ago
- ☆25Updated 7 years ago
- ☆41Updated 4 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆79Updated 7 years ago
- Portfolio Construction Functions under the Basic Mean_Variance Model, the Factor Model and the Black_Litterman Model.☆41Updated 7 years ago
- Build a statistical risk model using PCA. Optimize the portfolio using the risk model and factors using multiple optimization formulation…☆134Updated 6 years ago
- ☆53Updated 8 years ago
- ☆85Updated last year
- Baruch MFE program quant lab☆29Updated 7 years ago
- Repository containing the code for a pairs trading investment strategy (Master Thesis in Electrical and Computer Engineering - Técnico Li…☆171Updated 6 years ago
- Portfolio optimization using Genetic algorithm.☆62Updated 4 years ago
- Modeling the S&P500 index as a hidden markov model for regime identification and creating a trading algorithm to capitalize on hidden sta…☆38Updated 5 years ago