Alternatives and similar repositories for rl-hedge-2019

Users that are interested in rl-hedge-2019 are comparing it to the libraries listed below

• alexandrecarbonneau / Deep-Hedging-of-Long-Term-Financial-Derivatives
  This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.
  ☆31Updated 5 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆79Updated 4 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆66Updated last year
• rotmanfinhub / gamma-vega-rl-hedging
  ☆36Updated last year
• YuMan-Tam / deep-hedging
  Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
  ☆161Updated 4 years ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆50Updated 6 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆120Updated last year
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆90Updated 6 months ago
• ryanmccrickerd / rough_bergomi
  A Python implementation of the rough Bergomi model.
  ☆125Updated 7 years ago
• weiguanwang / Hedging_Neural_Networks
  Code for the paper "Hedging with linear regressions and neural networks"
  ☆37Updated 4 years ago
• Dagalon / PyStochasticVolatility
  This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…
  ☆118Updated 2 months ago
• dpopadic / arpmRes
  Advanced Risk and Portfolio Management Resources
  ☆31Updated 6 years ago
• thedatabeat / SVI
  ☆52Updated 8 years ago
• CFMTech / Deep-RL-for-Portfolio-Optimization
  Deep Reinforcement Learning for Portfolio Optimization
  ☆126Updated 5 years ago
• arraystream / fftoptionlib
  FFT-based Option Pricing Methods in Python
  ☆59Updated 7 years ago
• amuguruza / NN-StochVol-Calibrations
  We implement the paper: Deep Learning Volatility
  ☆195Updated 5 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆90Updated 6 years ago
• jerryxyx / MonteCarlo
  A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM
  ☆113Updated 6 years ago
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆36Updated 6 years ago
• jsg71 / Deep-Hedging
  ☆148Updated 5 years ago
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆89Updated 2 years ago
• JJJerome / mbt_gym
  mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…
  ☆161Updated last year
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆21Updated 5 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆24Updated 7 years ago
• FinancialComputingUCL / LOBFrame
  We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
  ☆188Updated last year
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆13Updated 7 years ago
• jgatheral / RationalRoughHeston
  ☆11Updated last year
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆97Updated 8 months ago
• imanolperez / market_simulator
  Market simulator
  ☆61Updated 5 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆48Updated 2 years ago