sauxpa / ito_diffusions
Library for stochastic process simulation
☆14Updated last year
Related projects ⓘ
Alternatives and complementary repositories for ito_diffusions
- ☆18Updated 6 years ago
- Price options analytically given stock price characteristic function☆15Updated 9 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆20Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆32Updated 2 years ago
- Multivariate GARCH modelling in Python☆15Updated 3 weeks ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆9Updated 7 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- Non-Linear Covariance Shrinkage☆14Updated 2 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 4 years ago
- ☆60Updated last week
- Deep Optimal Stopping Project☆16Updated 5 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆19Updated 4 years ago
- Quant finance scripts☆15Updated 4 years ago
- ☆15Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆47Updated last year
- Statistical Jump Models in Python, with scikit-learn-style APIs☆38Updated last month
- Calibration and pricing options in Heston model☆12Updated 6 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 3 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆49Updated 7 months ago
- Some implementations from the paper robust risk aware reinforcement learning☆34Updated 2 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆14Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 2 weeks ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 2 years ago
- Repository attached to the paper with the same name.☆20Updated 3 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆11Updated 6 years ago
- Estimators and analysis for extreme value theory (EVT)☆15Updated 3 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 3 years ago
- Code for the paper Volatility is (mostly) path-dependent☆53Updated 8 months ago