Deep Optimal Stopping Project
☆16Jun 8, 2019Updated 6 years ago
Alternatives and similar repositories for Deep-Optimal-Stopping
Users that are interested in Deep-Optimal-Stopping are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- code for "Optimal Stopping via Randomized Neural Networks"☆58Apr 17, 2024Updated 2 years ago
- This notebook presents an example of the equal risk pricing framework with deep hedging from my paper Carbonneau, A. and Godin, F. (2020)…☆15Oct 15, 2021Updated 4 years ago
- ☆12Dec 21, 2022Updated 3 years ago
- Variance Gamma distribution (Python): pdf, cdf, rand and fit.☆11Mar 8, 2018Updated 8 years ago
- Hedging unsing Deep Reinforcement Learning and Deep Learning☆27Mar 29, 2021Updated 5 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Use the Finite Difference method to price European, American and Bermudan options.☆23Aug 5, 2020Updated 5 years ago
- A Deep Learning Framework for Neural Derivative Hedging☆31Feb 3, 2022Updated 4 years ago
- ☆16Jul 9, 2022Updated 3 years ago
- ☆18Feb 13, 2022Updated 4 years ago
- ARIMA & GARCH models for stock price prediction☆27Sep 13, 2020Updated 5 years ago
- A DQN agent that optimally hedges an options portfolio.☆25Feb 4, 2020Updated 6 years ago
- A Program to calculate the price of American put or call option with Least Square Monte Carlo☆16Jun 7, 2023Updated 2 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Nov 12, 2020Updated 5 years ago
- Materials for "best practices for collaborative latex" course for PhD students at CREST☆17Nov 6, 2024Updated last year
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Material for the practical of the DS3 course on "Representing and comparing probabilities with kernels"☆26Feb 5, 2019Updated 7 years ago
- Portfolio Optimization and Quantitative Strategic Asset Allocation in Python☆13Jul 29, 2024Updated last year
- High performance hybrid Monte Carlo simulation☆10May 9, 2026Updated 2 weeks ago
- ☆14Dec 8, 2022Updated 3 years ago
- Code for Undergraduate Dissertation; Exploration of Discrete Time Mean-Variance Hedging strategies 📈☆17Sep 25, 2021Updated 4 years ago
- Deep Hedging Demo - An Example of Using Machine Learning for Derivative Pricing.☆163Jan 17, 2021Updated 5 years ago
- Minimal implementation and experiments of "No-Transaction Band Network: A Neural Network Architecture for Efficient Deep Hedging".☆32May 26, 2021Updated 5 years ago
- ☆10Nov 4, 2018Updated 7 years ago
- Volterra Integral Equation Solver☆12Feb 3, 2016Updated 10 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- With real market data using Black Scholes and Brentq☆26Mar 31, 2020Updated 6 years ago
- A new and more effective method for dynamic hedging☆14Jan 11, 2018Updated 8 years ago
- Calibration and pricing options in Heston model☆14Dec 24, 2017Updated 8 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Nov 19, 2018Updated 7 years ago
- Calibration of parameters of Heston and Bates models using Markov Chain Monte Carlo (MCMC)☆42Oct 10, 2020Updated 5 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 3 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Mar 18, 2026Updated 2 months ago
- Pricing and Simulating in Python Zero Coupon Bonds with Vasicek and Cox Ingersoll Ross short term interest rate modes☆53May 13, 2020Updated 6 years ago
- ☆30Aug 5, 2023Updated 2 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- A lean package to estimate financial asset betas☆13Feb 12, 2023Updated 3 years ago
- NYU Tandon Machine Learning and Finance Fall 2022☆11Dec 13, 2022Updated 3 years ago
- A deep reinforcement learning model for portfolio management. For more info, check☆14Jun 2, 2020Updated 5 years ago
- This course focuses on computational methods in option and interest rate, product’s pricing and model calibration. The first module will …☆11Aug 25, 2022Updated 3 years ago
- Computational Finance And Financial Econometrics - This course is an introduction to computational finance and financial econometrics - d…☆15Jul 6, 2021Updated 4 years ago
- Calibration of a Surface SVI☆13Jan 31, 2019Updated 7 years ago
- Fitting an SVI model using Zeliade's method in Python with Pandas☆13May 13, 2015Updated 11 years ago