svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-LearningLinks
This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
☆54Updated 6 years ago
Alternatives and similar repositories for Calibrating-Rough-Volatility-Models-with-Deep-Learning
Users that are interested in Calibrating-Rough-Volatility-Models-with-Deep-Learning are comparing it to the libraries listed below
Sorting:
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆56Updated 5 months ago
- Code for the paper Volatility is (mostly) path-dependent☆69Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆22Updated 5 years ago
- We implement the paper: Deep Learning Volatility☆198Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆38Updated 4 years ago
- ☆52Updated 8 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- A Python implementation of the rough Bergomi model.☆133Updated 7 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆115Updated 6 years ago
- Surface SVI parameterisation and corresponding local volatility☆52Updated 5 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆12Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆122Updated last month
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆32Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆24Updated 7 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆187Updated 2 months ago
- Neural network local volatility with dupire formula☆79Updated 4 years ago
- Option pricing with various models (Black-Scholes, Heston, Merton jump diffusion, etc) and methods (Monte Carlo, finite difference, Fouri…☆87Updated 3 years ago
- Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Sta…☆203Updated 11 months ago
- Attribution and optimisation using a multi-factor equity risk model.☆33Updated last year
- Python Code for Quantitative Finance Papers☆42Updated last year
- ☆50Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆97Updated 8 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆120Updated last year
- Get breakeven volatility through Delta Hedging and Gamma Hedging; Fit the volatility smile by SABR and SVI model☆18Updated 5 years ago
- Predictive yield curve modeling in reduced dimensionality☆45Updated 2 years ago
- Arbitrage free SVI Surface☆14Updated 7 years ago
- European/American/Asian option pricing module. BSM/Monte Carlo/Binomial☆101Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆78Updated 5 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆162Updated 4 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Updated 7 months ago