Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
☆62Jan 5, 2023Updated 3 years ago
Alternatives and similar repositories for neuralSDE-marketmodel
Users that are interested in neuralSDE-marketmodel are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆16Jul 17, 2020Updated 6 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆128Jan 10, 2024Updated 2 years ago
- Implementation of code snippets and exercises in the book Machine Learning for Asset Managers written by Prof. Marcos López de Prado.☆16Sep 10, 2020Updated 6 years ago
- Repository attached to the paper with the same name.☆21Jun 15, 2021Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Illustration for the paper "GMM DCKE - Semi-Analytic Conditional Expectations"☆10Sep 15, 2025Updated last year
- Implementation of the Longstaff-Schwartz (American Monte Carlo) algorithm for pricing options and other derivatives with early-exercise f…☆24Jun 24, 2020Updated 6 years ago
- Survey of neural network methods for derivatives pricing and risks☆14Jul 5, 2022Updated 4 years ago
- This is a repository of scripts developed as part of the 2020 ENCMP100 Section B3 lecture taught at University of Alberta.☆10Apr 2, 2020Updated 6 years ago
- Robust pricing and hedging via Neural SDEs☆40Aug 4, 2021Updated 5 years ago
- ☆18Apr 24, 2021Updated 5 years ago
- Finding the conditional distributions of a Gaussian Mixture Model☆13Nov 10, 2019Updated 6 years ago
- Limit Orderbook Replay/Analysis Library☆10Nov 19, 2018Updated 7 years ago
- Accompanying code to my master thesis: "Neural Network assisted Option Pricing under Rough Volatility: An Empirical Validation".☆13Apr 14, 2022Updated 4 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Code for the paper Volatility is (mostly) path-dependent☆79Mar 22, 2024Updated 2 years ago
- We implement the rough Heston model☆16Jan 24, 2024Updated 2 years ago
- We implement the paper: Deep Learning Volatility☆211May 10, 2020Updated 6 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Feb 15, 2022Updated 4 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- This is a course project of the course « Machine Learning for Finance » at ENSAE ParisTech.☆55Apr 15, 2019Updated 7 years ago
- Julia package to provide reference European option prices for stochastic volatility models with a known characteristic function, such as …☆12Updated this week
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆20Jun 10, 2022Updated 4 years ago
- Asset allocation and Portfolio Management Course @ Baruch MFE☆19Feb 1, 2020Updated 6 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- Numerical methods (e.g., binomial trees, Monte Carlo, and finite different methods) for option pricing☆20Jul 4, 2018Updated 8 years ago
- Finance-specific models for asset pricing, prediction, and portfolio learning.☆18Updated this week
- Implements Path Shadowing Monte Carlo (PSMC).☆88Dec 19, 2024Updated last year
- Implementation of the rough volatility model and its calibration☆10Jul 11, 2020Updated 6 years ago
- Vollab (Volatility Laboratory) is a python package for testing out different approaches to volatility modelling within the field of mathe…☆21Apr 30, 2021Updated 5 years ago
- SABR Implied volatility asymptotics☆24May 22, 2020Updated 6 years ago
- This project aims to construct the Equity Implied Volatility surface under the Stochastic Volatility Inspired (SVI) model.☆10Sep 12, 2026Updated last month
- Thesis support material☆11Mar 28, 2021Updated 5 years ago
- code for "Neural Jump Ordinary Differential Equations"☆30Feb 16, 2023Updated 3 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- ☆216Mar 29, 2023Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆16May 23, 2022Updated 4 years ago
- Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elast…☆15Jul 17, 2023Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆135Jun 9, 2026Updated 4 months ago
- PyTorch-based framework for Deep Hedging☆369Aug 30, 2024Updated 2 years ago
- This project is based upon the paper: Frazzini, A. & Pedersen, L. (2014). Betting against beta.☆24Jan 20, 2022Updated 4 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.☆33Oct 23, 2023Updated 3 years ago