tdmdal / rl-hedge-2019
☆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:
- ☆33Updated 11 months ago
- 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
- Code for the paper Volatility is (mostly) path-dependent☆61Updated last year
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆49Updated 6 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆158Updated 4 years ago
- ☆50Updated 7 years ago
- Market simulator☆60Updated 4 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆72Updated 2 months ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆119Updated last year
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆24Updated 4 years ago
- Option hedging strategies are investigated using two reinforcement learning algorithms: deep Q network and deep deterministic policy grad…☆21Updated 5 years ago
- three stochastic volatility model: Heston, SABR, SVI☆89Updated 6 years ago
- ☆15Updated 2 years ago
- Code for the paper "Hedging with linear regressions and neural networks"☆36Updated 4 years ago
- European and Forward-start option pricing and implied volatility in the Heston and rough Heston model☆20Updated 4 years ago
- Statistical Jump Models in Python, with scikit-learn-style APIs☆69Updated 4 months ago
- Repository attached to the paper with the same name.☆21Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- ☆19Updated 6 years ago
- Advanced Risk and Portfolio Management Resources☆26Updated 5 years ago
- This repo contains lecture notes and HW for Baruch MTH9875 Volatility Surface☆21Updated 7 years ago
- Calibration and pricing options in Heston model☆13Updated 7 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆31Updated 3 years ago
- Baruch MFE 2019 Spring☆40Updated 4 years ago
- The pricing models and neural network representations used in part one of the paper "Empirical analysis of rough and classical stochastic…☆54Updated 2 years ago
- Deep Reinforcement Learning for Portfolio Optimization☆118Updated 5 years ago
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆159Updated last month
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago