tdmdal / rl-hedge-2019Links
☆49Updated 4 years ago
Alternatives and similar repositories for rl-hedge-2019
Users that are interested in rl-hedge-2019 are comparing it to the libraries listed below
Sorting:
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Neural network local volatility with dupire formula☆76Updated 3 years ago
- ☆33Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆50Updated 6 years ago
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆74Updated 2 months ago
- Advanced Risk and Portfolio Management Resources☆27Updated 5 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆70Updated 4 months ago
- ☆50Updated 7 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆24Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆158Updated 4 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆91Updated 6 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- ☆15Updated 2 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆11Updated 3 years ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31Updated 4 years ago
- FFT-based Option Pricing Methods in Python☆59Updated 6 years ago
- Code repository for demos of the article 'Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders'.☆33Updated 2 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- SVI volatility surface model and an example of China 50ETF option☆72Updated 5 years ago
- Calibration of a Surface SVI☆13Updated 6 years ago
- A DQN agent that optimally hedges an options portfolio.☆24Updated 5 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago