Alternatives and similar repositories for rl-hedge-2019:

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

• rotmanfinhub / gamma-vega-rl-hedging
  ☆32Updated 8 months ago
• 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.
  ☆26Updated 4 years ago
• Jordylek / VolatilityIsMostlyPathDependent
  Code for the paper Volatility is (mostly) path-dependent
  ☆59Updated 10 months ago
• svenhsia / Calibrating-Rough-Volatility-Models-with-Deep-Learning
  This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.
  ☆45Updated 5 years ago
• YukiYasuda2718 / rl-bsmodel-with-costs
  Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…
  ☆20Updated 5 years ago
• mChataign / DupireNN
  Neural network local volatility with dupire formula
  ☆75Updated 3 years ago
• vicaws / arbitragerepair
  Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.
  ☆116Updated last year
• mChataign / Beyond-Surrogate-Modeling-Learning-the-Local-Volatility-Via-Shape-Constraints
  Repository attached to the paper with the same name.
  ☆21Updated 3 years ago
• milenavuletic / VolGAN
  Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"
  ☆55Updated this week
• fschur / Deep-Reinforcement-Learning-for-Hedging
  Hedging unsing Deep Reinforcement Learning and Deep Learning
  ☆23Updated 3 years ago
• Jmaihuire / MTH9875_Volatility_Surface
  This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface
  ☆21Updated 7 years ago
• YuMan-Tam / deep-hedging
  Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.
  ☆153Updated 4 years ago
• Yizhan-Oliver-Shu / jump-models
  Statistical Jump Models in Python, with scikit-learn-style APIs
  ☆59Updated last month
• bstemper / deep_rough_calibration
  C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
  ☆37Updated 6 years ago
• dpopadic / arpmRes
  Advanced Risk and Portfolio Management Resources
  ☆26Updated 5 years ago
• JackJacquier / Heston-normal-and-rough
  European and Forward-start option pricing and implied volatility in the Heston and rough Heston model
  ☆21Updated 4 years ago
• thedatabeat / SVI
  ☆50Updated 7 years ago
• clf110510 / stochastic-volatility
  three stochastic volatility model: Heston, SABR, SVI
  ☆84Updated 5 years ago
• KNFO-MIMUW / Heston_model
  Calibration and pricing options in Heston model
  ☆12Updated 7 years ago
• srich86 / Rough-Volatility-and-rBergomi-Model
  Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".
  ☆11Updated 2 years ago
• werleycordeiro / Dynamic_Nelson_Siegel_Svensson_Kalman_Filter
  Python Package: Fitting and Forecasting the yield curve
  ☆36Updated 3 years ago
• sigurdroemer / rough_volatility
  The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…
  ☆51Updated 2 years ago
• issaz / signature-regime-detection
  Code accompanying the paper "Pathwise methods for non-parametric online market regime detection and regime clustering for multidimensiona…
  ☆29Updated last year
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆79Updated last year
• amuguruza / RoughFCLT
  ☆18Updated 6 years ago
• weiguanwang / Hedging_Neural_Networks
  Code for the paper "Hedging with linear regressions and neural networks"
  ☆36Updated 3 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆37Updated 4 years ago
• BrianNingUT / ArbFreeIV-VAE
  Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.
  ☆29Updated last year
• arraystream / fftoptionlib
  FFT-based Option Pricing Methods in Python
  ☆59Updated 6 years ago
• JunbeomL22 / SurfaceFitting
  Fitting Volatility using SSVI with quotient phi, but by slice fitting fashion
  ☆13Updated 9 months ago