We implement the rough Heston model
☆18Jan 24, 2024Updated 2 years ago
Alternatives and similar repositories for rough_heston
Users that are interested in rough_heston are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22May 25, 2020Updated 6 years ago
- ☆22Jun 20, 2018Updated 7 years ago
- ☆17Oct 25, 2023Updated 2 years ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆18Jun 10, 2022Updated 4 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆56Apr 15, 2019Updated 7 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- ☆16Jul 17, 2020Updated 5 years ago
- Full Python implementation of the Heston pricing algorithm developed in the article by Leif Anderson and Mark Lake in their article Robus…☆22Jun 28, 2020Updated 5 years ago
- ☆14Mar 1, 2024Updated 2 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆65Feb 21, 2026Updated 3 months ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Apr 14, 2022Updated 4 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆16Feb 26, 2020Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆143Sep 17, 2018Updated 7 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆12Sep 29, 2017Updated 8 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆13May 24, 2018Updated 8 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- Large Deviations for volatility options☆13Feb 28, 2019Updated 7 years ago
- We implement the paper: Deep Learning Volatility☆212May 10, 2020Updated 6 years ago
- ☆26Mar 23, 2025Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆76Mar 22, 2024Updated 2 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 6 years ago
- Learning project by project.☆20Aug 29, 2021Updated 4 years ago
- Option pricing and Delta hedging performance comparison between Black and Scholes vs Artificial Neural Network☆19Nov 25, 2020Updated 5 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Oct 15, 2021Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- Scattering Spectra used for the analysis and generation of time-series☆45Dec 19, 2024Updated last year
- Modeling the allocation of resources to markets based on the restraints of objective functions☆14Mar 15, 2016Updated 10 years ago
- Operator Deep Smoothing☆16May 22, 2026Updated 3 weeks ago
- Basic Limit Order Book functions☆23Apr 4, 2018Updated 8 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆32May 26, 2021Updated 5 years ago
- QuantMinds Rough Volatility Workshop lectures☆71Sep 6, 2025Updated 9 months ago
- Trade and Portfolio Accounting in Julia☆15May 23, 2016Updated 10 years ago
- Reinforcement Learning in Finance☆16Oct 8, 2020Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Code for the paper "Hedging with linear regressions and neural networks"☆40May 14, 2021Updated 5 years ago
- Robust pricing and hedging via Neural SDEs☆39Aug 4, 2021Updated 4 years ago
- Thesis support material☆11Mar 28, 2021Updated 5 years ago
- High-level overview of group's goals and objectives☆14Feb 11, 2015Updated 11 years ago
- ☆15Sep 29, 2015Updated 10 years ago
- Financial portfolio modeling in Julia☆18Dec 20, 2013Updated 12 years ago
- Price options analytically given stock price characteristic function☆16Nov 4, 2015Updated 10 years ago